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r / packages / r-bcc1997 0.1.1

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.

Installers

  • noarch v0.1.1

conda install

To install this package run one of the following:
conda install r::r-bcc1997

Description


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