Functions and R Code to Accompany Derivatives Markets


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Documentation for package ‘derivmkts’ version 0.2.4

Help Pages

.tol Black-Scholes implied volatility and price
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