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]]
>
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> and provide commented, minimal, self-contained, reproducible code.
>
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