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r / packages / r-bcc1997

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.

Type Size Name Uploaded Downloads Labels
conda 28.4 kB | noarch/r-bcc1997-0.1.1-r43h142f84f_0.tar.bz2  1 year and 23 days ago 19 main
conda 27.8 kB | noarch/r-bcc1997-0.1.1-r42h142f84f_0.tar.bz2  2 years and 7 months ago 56 main
conda 28.0 kB | noarch/r-bcc1997-0.1.1-r36h6115d3f_0.tar.bz2  4 years and 10 months ago 120 main

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