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


Reference manual: BCC1997.pdf


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


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