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
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
2026-04-09 windows/windows R-4.5 | amsSim_0.1.0.zip |
403.6 KiB |