Package 'CustomDerivative'
| Title: |
Extensible Derivative Pricing and Risk Analytics |
| Description: |
Tools for pricing and analysing financial derivatives
under the classical lognormal diffusion model and geometric
Brownian motion assumptions. The package provides analytical
European option prices, Monte Carlo pricing with antithetic and
control variates, confidence intervals, finite-difference
Greeks, and path simulation for path-dependent payoffs. The
simulation interfaces accept user-defined payoff functions,
enabling transparent construction of custom contracts while
reporting numerical uncertainty. |
| Authors: |
Amit Kumar Jha [aut, cre, cph] |
| Maintainer: |
Amit Kumar Jha <[email protected]> |
| License: |
MIT + file LICENSE |
| Version: |
0.2.0 |
| Built: |
2026-09-26 06:34:41 UTC |
| Source: |
https://github.com/aim-it4/customderivative |
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