Functions and R Code to Accompany Derivatives Markets
Asian Monte Carlo option pricing
Control variate asian call price
Geometric average asian options
Barrier option pricing
Binomial option pricing
Black-Scholes option pricing
Simple Bond Functions
Compound options
Geometric Asian option prices computed by Monte Carlo
Calculate option Greeks
Black-Scholes implied volatility and price
Option pricing with jumps
Perpetual American options
Quincunx simulation
Simulate asset prices
A set of pricing and expository functions that should be useful in teaching a course on financial derivatives.