Take a look at the fOptions package, as well as all the packages in Rmetrics (see www.rmetrics.org).
There is also a wrapper to QuantLib called RQuantLib. Also, your question would have a better chance of being answered on the R-sig-finance mailing list. HTH Jeff Arun Kumar Saha wrote: > > Hi all, > > Is there any R package on "European/American oprions pricing"? And on > calculation of it's sensitivities? > > Regards, > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > -- View this message in context: http://www.nabble.com/Package-for-financial-options-calculation-tp19430481p19433943.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
