Extensible Derivative Pricing and Risk Analytics
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Documentation for package ‘CustomDerivative’ version 0.2.0
Help Pages
| asian_call_payoff | Arithmetic-average Asian call payoff |
| black_scholes_price | Black-Scholes price for a European option |
| call_payoff | Standard terminal payoff functions |
| CustomDerivative | Legacy CustomDerivative R6 interface |
| digital_call_payoff | Standard terminal payoff functions |
| down_and_out_call_payoff | Down-and-out European call payoff |
| finite_difference_greeks | Finite-difference Greeks for a pricing function |
| payoff_helpers | Standard terminal payoff functions |
| price_european_mc | Monte Carlo price for a European custom payoff |
| price_path_dependent_mc | Monte Carlo price for a path-dependent custom payoff |
| put_payoff | Standard terminal payoff functions |
| simulate_gbm_paths | Simulate geometric Brownian motion paths |