Installation
About
Calculates the prices of European options based on the universal solution provided by Bakshi, Cao and Chen (1997) doi:10.1111/j.1540-6261.1997.tb02749.x. This solution considers stochastic volatility, stochastic interest and random jumps. Please cite their work if this package is used.
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Depends
| R | ≥ 3.1.0 |
Imports
| stats |