OptHedging1.0 package

Estimation of value and hedging strategy of call and put options

hedging.iid

Value and optimal hedging strategy for a call or a put option using si...

interpol1d

Linear interpolation function.

Download source packageRead PDF manual

Estimation of value and hedging strategy of call and put options, based on optimal hedging and Monte Carlo method, from Chapter 3 of 'Statistical Methods for Financial Engineering', by Bruno Remillard, CRC Press, (2013).

  • Maintainer: Bruno Remillard
  • License: GPL (>= 2)
  • Last published: 2013-10-11

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