• BENCHOP

  • Referenced in 25 articles [sw14867]
  • BENCHOP - the benchmarking project in option pricing. The aim of the BENCHOP project ... common suite of benchmark problems for option pricing. We provide a detailed description...
  • PricingMixedTS

  • Referenced in 4 articles [sw27442]
  • Option pricing in an exponential MixedTS Lévy process. In this paper we present an option...
  • RQuantLib

  • Referenced in 3 articles [sw10615]
  • user. Currently a number option pricing functions are included, both vanilla and exotic, as well...
  • Option Pricing Toolbox

  • Referenced in 1 article [sw24630]
  • Toolbox that can be used to price options according to many of the most popular ... models used in the option pricing literature. Among many others: Black and Scholes...
  • OptAn

  • Referenced in 4 articles [sw00655]
  • options; (c) forecast of the options and share prices...
  • NetNUMPAC

  • Referenced in 6 articles [sw19081]
  • application, we compute the price of an Asian option...
  • LSMonteCarlo

  • Referenced in 1 article [sw36182]
  • package LSMonteCarlo: American options pricing with Least Squares Monte Carlo method. The package compiles functions ... calculating prices of American put options with Least Squares Monte Carlo method. The option types ... American put, and Quanto American put. The pricing algorithms include variance reduction techniques such ... Geometric Brownian motion, and calculate prices of European options with Black & Scholes analytical solution...
  • Premia

  • Referenced in 1 article [sw21216]
  • Premia is a software designed for option pricing, hedging and financial model calibration...
  • QFcode

  • Referenced in 1 article [sw19040]
  • widespread methods in risk management and option pricing. The author’s website provides fully functional...
  • ecd

  • Referenced in 0 articles [sw15890]
  • univariate elliptic distribution, and lambda option pricing model. It provides detailed functionality and data sets ... density, probability, quantile, fitting procedures, option prices, volatility smile. It also comes with sample financial...
  • fAsianOptions

  • Referenced in 1 article [sw32755]
  • Option Valuation. Provides functions for pricing and valuating Asian Options together with tools for analyzing...
  • Jdmbs

  • Referenced in 0 articles [sw18926]
  • package Jdmbs. Jdmbs: Monte Carlo Option Pricing Algorithm for Jump Diffusion Model with Correlation Companies ... dx.doi.org/10.1086/260062”>doi:10.1086/260062>] is important to calculate option premium in the stock market. And variety...
  • MATLAB Financial Toolbox

  • Referenced in 4 articles [sw07147]
  • optimize portfolios of financial instruments, optionally taking into account turnover and transaction costs. The toolbox ... estimate risk, analyze interest rate levels, price equity and interest rate derivatives, and measure investment...
  • UnRisk

  • Referenced in 2 articles [sw07399]
  • quantitative methods for financial markets Swaps, futures, options, structured instruments – a wide range of derivative ... traded in today’s financial markets. Analyzing, pricing and managing such products often requires fairly...
  • productivity

  • Referenced in 1 article [sw31673]
  • prices can also be obtained. Besides, the package allows parallel computing as an option, depending...
  • Cuba

  • Referenced in 57 articles [sw00173]
  • Cuba -- a library for multidimensional numerical integration. The...
  • Expokit

  • Referenced in 173 articles [sw00258]
  • Expokit provides a set of routines aimed at...
  • Hopscotch

  • Referenced in 43 articles [sw00413]
  • Hopscotch: a fast second order partial differential equations...
  • KNITRO

  • Referenced in 175 articles [sw00490]
  • KNITRO is a solver for nonlinear optimization. It...