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levy-models

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chicago-joe / Option-Pricing-via-Levy-Models-in-R

using the Inverse-Transform method to speed up options pricing simulations in R

r monte-carlo-simulation r-language option-pricing algorithmic-trading monte-carlo-simulations mathematical-modelling mathematical-finance r-programming computational-finance financial-engineering european-options levy-processes options-trading levy-process levy-models

Updated Sep 17, 2019
R

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