QFRM: Pricing of Vanilla and Exotic Option Contracts

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
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
OS X El Capitan binaries: r-release: QFRM_1.0.1.tgz
OS X Mavericks binaries: r-oldrel: QFRM_1.0.1.tgz
Old sources: QFRM archive


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