Package index
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BachelierImpvol() - Calculate Bachelier model implied volatility
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BachelierPrice() - Calculate Bachelier model option price
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BlackScholesImpvol() - Calculate Black-Scholes implied volatility
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BlackScholesPrice() - Calculate Black-Scholes option price
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CevMassZero() - Calculate the mass at zero under the CEV model
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CevPrice() - Calculate the constant elasticity of variance (CEV) model option price
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Nsvh1Choi2019() - Calculate the option price under the NSVh model with lambda=1 (Choi et al. 2019)
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SabrHagan2002() - Calculate the equivalent BS volatility (Hagan et al. 2002) for the Stochatic-Alpha-Beta-Rho (SABR) model
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SpreadBachelier() - Spread option under the Bachelier model
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SpreadBjerksund2014() - Spread option pricing method by Bjerksund & Stensland (2014)
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SpreadKirk() - Kirk's approximation for spread option
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SwitchMargrabe() - Margrabe's formula for exhange option price