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Option pricing (financial derivatives) techniques mainly following textbook 'Options, Futures and Other Derivatives', 9ed by John C.Hull, 2014. Prentice Hall. Implementations are via binomial tree option model (BOPM), Black-Scholes model, Monte Carlo simulations, etc. This package is a result of Quantitative Financial Risk Management course (STAT 449 and STAT 649) at Rice University, Houston, TX, USA, taught by Oleg Melnikov, statistics PhD student, as of Spring 2015.
| Version: | 1.0.1 |
| Depends: | R (≥ 2.14.0) |
| Imports: | stats, methods, graphics |
| Published: | 2015-07-28 |
| DOI: | 10.32614/CRAN.package.QFRM |
| Author: | Oleg Melnikov [aut, cre], Max Lee [ctb], Robert Abramov [ctb], Richard Huang [ctb], Liu Tong [ctb], Jake Kornblau [ctb], Xinnan Lu [ctb], Kiryl Novikau [ctb], Tongyue Luo [ctb], Le You [ctb], Jin Chen [ctb], Chengwei Ge [ctb], Jiayao Huang [ctb], Kim Raath [ctb] |
| Maintainer: | Oleg Melnikov <XisReal at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | http://Oleg.Rice.edu |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | QFRM results |
| Reference manual: | QFRM.pdf |
| Package source: | QFRM_1.0.1.tar.gz |
| Windows binaries: | r-devel: QFRM_1.0.1.zip, r-release: QFRM_1.0.1.zip, r-oldrel: QFRM_1.0.1.zip |
| macOS binaries: | r-release (arm64): QFRM_1.0.1.tgz, r-oldrel (arm64): QFRM_1.0.1.tgz, r-release (x86_64): QFRM_1.0.1.tgz, r-oldrel (x86_64): QFRM_1.0.1.tgz |
| Old sources: | QFRM archive |
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