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amsSim

Adaptive Multilevel Splitting for Option Simulation and Pricing

Simulation and pricing routines for rare-event options using Adaptive Multilevel Splitting and standard Monte Carlo under Black-Scholes and Heston models. Core routines are implemented in C++ via Rcpp and RcppArmadillo with lightweight R wrappers.

Versions across snapshots

VersionRepositoryFileSize
0.1.0 rolling linux/jammy R-4.5 amsSim_0.1.0.tar.gz 82.1 KiB
0.1.0 rolling linux/noble R-4.5 amsSim_0.1.0.tar.gz 84.6 KiB
0.1.0 rolling source/ R- amsSim_0.1.0.tar.gz 13.5 KiB
0.1.0 latest linux/jammy R-4.5 amsSim_0.1.0.tar.gz 82.1 KiB
0.1.0 latest linux/noble R-4.5 amsSim_0.1.0.tar.gz 84.6 KiB
0.1.0 latest source/ R- amsSim_0.1.0.tar.gz 13.5 KiB
0.1.0 2026-04-26 source/ R- amsSim_0.1.0.tar.gz 13.5 KiB
0.1.0 2026-04-23 source/ R- amsSim_0.1.0.tar.gz 13.5 KiB
0.1.0 2026-04-09 windows/windows R-4.5 amsSim_0.1.0.zip 403.6 KiB

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