BCC1997
Calculation of Option Prices Based on a Universal Solution
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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.1 |
rolling linux/jammy R-4.5 | BCC1997_0.1.1.tar.gz |
15.4 KiB |
0.1.1 |
rolling linux/noble R-4.5 | BCC1997_0.1.1.tar.gz |
15.3 KiB |
0.1.1 |
rolling source/ R- | BCC1997_0.1.1.tar.gz |
2.3 KiB |
0.1.1 |
latest linux/jammy R-4.5 | BCC1997_0.1.1.tar.gz |
15.4 KiB |
0.1.1 |
latest linux/noble R-4.5 | BCC1997_0.1.1.tar.gz |
15.3 KiB |
0.1.1 |
latest source/ R- | BCC1997_0.1.1.tar.gz |
2.3 KiB |
0.1.1 |
2026-04-26 source/ R- | BCC1997_0.1.1.tar.gz |
2.3 KiB |
0.1.1 |
2026-04-23 source/ R- | BCC1997_0.1.1.tar.gz |
2.3 KiB |
0.1.1 |
2026-04-09 windows/windows R-4.5 | BCC1997_0.1.1.zip |
18.1 KiB |
0.1.1 |
2025-04-20 source/ R- | BCC1997_0.1.1.tar.gz |
2.3 KiB |