[R] Option pricing models

Suman Narayan suman at sssu.edu.in
Tue Jul 20 17:49:26 CEST 2010


Hi,
I am currently doing a project in which I wish to calculate the
calculate the theoretical price of options using the following models:

1. Constant Elasticity of Variance (CEV) model
2. Merton's jump diffusion model
3. Variance Gamma model

I am not sure as to how to implement this in R. I request you to help
me in this regard.

Thanks,
~Suman



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