Pricing of Vanilla and Exotic Option Contracts

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Documentation for package ‘QFRM’ version 1.0.1

• DESCRIPTION file.

Help Pages

as.OptPos	Coerce an argument to 'OptPos' class.
AsianBS	Asian option valuation via Black-Scholes (BS) model
AsianMC	Asian option valuation with Monte Carlo (MC) simulation.
AverageStrikeMC	Average Strike option valuation via Monte Carlo (MC) simulation
BarrierBS	Barrier option pricing via Black-Scholes (BS) model
BarrierLT	Barrrier option valuation via lattice tree (LT)
BarrierMC	Barrier option valuation via Monte Carlo (MC) simulation.
BinaryBS	Binary option valuation with Black-Scholes (BS) model
BinaryMC	Binary option valuation via Monte-Carlo (via) simulation.
Binary_BOPM	Binary option valuation vialattice tree (LT) implementation
BOPM	Binomial option pricing model
BOPM_Eu	European option valuation (vectorized computation).
BS	Black-Scholes (BS) pricing model
BS_Simple	Black-Scholes formula
ChooserBS	Chooser option valuation via Black-Scholes (BS) model
ChooserLT	Chooser option valuation via Lattice Tree (LT) Model
ChooserMC	Chooser option valuation via Monte Carlo (MC) simulations
CompoundBS	Compound option valuation with Black-Scholes (BS) model
CompoundLT	Compound option valuation via lattice tree (LT) model
DeferredPaymentLT	DeferredPaymentLT
ForeignEquityBS	ForeignEquity option valuation via Black-Scholes (BS) model
ForwardStartBS	ForwardStart option valuation via Black-Scholes (BS) model
ForwardStartMC	Forward Start option valuation via Monte-Carlo (MC) simulation
GapBS	Gap option valuation via Black-Scholes (BS) model
GapLT	Gap option valuation via lattice tree (LT) model
GapMC	Gap option valuation via Monte Carlo (MC) simulation
HolderExtendibleBS	Holder Extendible option valuation via Black-Scholes (BS) model
is.Opt	Is an object 'Opt'?
is.OptPos	Is an object 'OptPos'?
is.OptPx	Is an object 'OptPx'?
LadderMC	Ladder option valuation via Monte Carlo (MC) simulation.
LookbackBS	Lookback option valuation with Black-Scholes (BS) model
LookbackMC	Lookback option valuation via Monte Carlo (MC) simulation
Opt	'Opt' object constructor
OptPos	'OptPos' object constructor
OptPx	'OptPx' object constructor
pbnorm	Bivariate Standard Normal CDF
PerpetualBS	Perpetual option valuation via Black-Scholes (BS) model
Profit	Computes payout/profit values
QuotientBS	Quotient option valuation via Black-Scholes (BS) model
QuotientMC	Quotient option valuation via Monte Carlo (MC) model
RainbowBS	Rainbow option valuation via Black-Scholes (BS) model
ShoutFD	Shout option valuation via finite differences (FD) method
ShoutLT	Shout option valuation via lattice tree (LT)
ShoutLTVectorized	Shout option valuation via lattice tree (LT)
ShoutMC	Shout option valuation via Monte Carlo (MC) simulations.
VarianceSwapBS	Variance Swap valuation via Black-Scholes (BS) model
VarianceSwapMC	VarianceSwap option valuation via Monte Carlo (MC) simulation.