package

r-FER

Description

Financial Engineering in R.

Description

cran.r-project.org

R implementations of standard financial engineering codes; vanilla option pricing models such as Black-Scholes, Bachelier, CEV, and SABR.

README.md

cran.r-project.org

FER

Financial Engineering in R

Contents

Black-Scholes model: option price and implied volatility
Bachelier model: option price and implied volatility
Constant-Elasticity-of-Variance (CEV) model: option price
Stochastic-Alpha-Beta-Rho (SABR) model: equivalent BS volatility and price.

Metadata

Version

0.94

License

Unknown

Status

Source

pkgs/development/r-modules/generic-builder.nix:56

Homepage

https://cran.r-project.org/web/packages/FER/

Platforms (75)

Darwin

FreeBSD

Genode

GHCJS

Linux

MMIXware

NetBSD

none

OpenBSD

Redox

Solaris

WASI

Windows

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