The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.

BCC1997: Calculation of Option Prices Based on a Universal Solution

Calculates the prices of European options based on the universal solution provided by Bakshi, Cao and Chen (1997) <doi:10.1111/j.1540-6261.1997.tb02749.x>. This solution considers stochastic volatility, stochastic interest and random jumps. Please cite their work if this package is used.

Version: 0.1.1
Depends: R (≥ 3.1.0)
Imports: stats
Published: 2017-02-22
DOI: 10.32614/CRAN.package.BCC1997
Author: Haoran Zhang
Maintainer: Haoran Zhang <hzz0017 at auburn.edu>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
In views: Finance
CRAN checks: BCC1997 results

Documentation:

Reference manual: BCC1997.pdf

Downloads:

Package source: BCC1997_0.1.1.tar.gz
Windows binaries: r-devel: BCC1997_0.1.1.zip, r-release: BCC1997_0.1.1.zip, r-oldrel: BCC1997_0.1.1.zip
macOS binaries: r-release (arm64): BCC1997_0.1.1.tgz, r-oldrel (arm64): BCC1997_0.1.1.tgz, r-release (x86_64): BCC1997_0.1.1.tgz, r-oldrel (x86_64): BCC1997_0.1.1.tgz

Linking:

Please use the canonical form https://CRAN.R-project.org/package=BCC1997 to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.