On Tue, 23 Jun 2020, Christofer Bogaso writes:
> With the caveat that the exact nature of this instrument is a bit
> proprietary, Eric's solution quite fit to this pricing problem.
>
> I am curious to understand if there is any implementation in R (or
> other software like python) to price such
Hi Christofer,
There is a tremendous amount of functionality in the C++ library QuantLib.
Some of that functionality can be easily accessed from R via the
package RQuantLib (developed by Dirk Eddelbuettel.)
I suggest you check QuantLib to see if they have pricing models for
Average Price Calls.
If
With the caveat that the exact nature of this instrument is a bit
proprietary, Eric's solution quite fit to this pricing problem.
I am curious to understand if there is any implementation in R (or
other software like python) to price such Average Price Calls option.
Thanks,
On Mon, Jun 22, 2020
