Functions and R Code to Accompany Derivatives Markets
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Documentation for package ‘derivmkts’ version 0.2.5
Help Pages
| arithasianmc | Asian Monte Carlo option pricing |
| arithavgpricecv | Control variate asian call price |
| asiangeomavg | Geometric average asian options |
| assetcall | Black-Scholes option pricing |
| assetdicall | Barrier option pricing |
| assetdiput | Barrier option pricing |
| assetdocall | Barrier option pricing |
| assetdoput | Barrier option pricing |
| assetjump | Option pricing with jumps |
| assetput | Black-Scholes option pricing |
| assetuicall | Barrier option pricing |
| assetuiput | Barrier option pricing |
| assetuocall | Barrier option pricing |
| assetuoput | Barrier option pricing |
| barriers | Barrier option pricing |
| binom | Binomial option pricing |
| binomial | Binomial option pricing |
| binomopt | Binomial option pricing |
| binomplot | Binomial option pricing |
| binormsdist | Compound options |
| blksch | Black-Scholes option pricing |
| bondpv | Simple Bond Functions |
| bondsimple | Simple Bond Functions |
| bondyield | Simple Bond Functions |
| bscall | Black-Scholes option pricing |
| bscallimps | Black-Scholes implied volatility and price |
| bscallimpvol | Black-Scholes implied volatility and price |
| bsopt | Calculate option Greeks |
| bsput | Black-Scholes option pricing |
| bsputimps | Black-Scholes implied volatility and price |
| bsputimpvol | Black-Scholes implied volatility and price |
| calldownin | Barrier option pricing |
| calldownout | Barrier option pricing |
| calloncall | Compound options |
| callonput | Compound options |
| callperpetual | Perpetual American options |
| callupin | Barrier option pricing |
| callupout | Barrier option pricing |
| cashcall | Black-Scholes option pricing |
| cashdicall | Barrier option pricing |
| cashdiput | Barrier option pricing |
| cashdocall | Barrier option pricing |
| cashdoput | Barrier option pricing |
| cashjump | Option pricing with jumps |
| cashput | Black-Scholes option pricing |
| cashuicall | Barrier option pricing |
| cashuiput | Barrier option pricing |
| cashuocall | Barrier option pricing |
| cashuoput | Barrier option pricing |
| compound | Compound options |
| convexity | Simple Bond Functions |
| dicall | Barrier option pricing |
| diput | Barrier option pricing |
| docall | Barrier option pricing |
| doput | Barrier option pricing |
| dr | Barrier option pricing |
| drdeferred | Barrier option pricing |
| duration | Simple Bond Functions |
| geomasianmc | Geometric Asian option prices computed by Monte Carlo |
| geomavgprice | Geometric average asian options |
| geomavgpricecall | Geometric average asian options |
| geomavgpriceput | Geometric average asian options |
| geomavgstrike | Geometric average asian options |
| geomavgstrikecall | Geometric average asian options |
| geomavgstrikeput | Geometric average asian options |
| greeks | Calculate option Greeks |
| greeks2 | Calculate option Greeks |
| implied | Black-Scholes implied volatility and price |
| jumps | Option pricing with jumps |
| mertonjump | Option pricing with jumps |
| optionsoncall | Compound options |
| optionsonput | Compound options |
| perpetual | Perpetual American options |
| putdownin | Barrier option pricing |
| putdownout | Barrier option pricing |
| putoncall | Compound options |
| putonput | Compound options |
| putperpetual | Perpetual American options |
| putupin | Barrier option pricing |
| putupout | Barrier option pricing |
| quincunx | Quincunx simulation |
| simprice | Simulate asset prices |
| uicall | Barrier option pricing |
| uiput | Barrier option pricing |
| uocall | Barrier option pricing |
| uoput | Barrier option pricing |
| ur | Barrier option pricing |
| urdeferred | Barrier option pricing |