Some friendly advice: before you post here, try searching the R project
page (cran.r-project.org) or using the function "RSiteSearch" in R to
find what you're looking for.

If you'd done so, you'd quickly find that the Rmetrics suite of packages
contains most of what you need, and that a CEV option model can be found
in other R packages online if it's not already available in the
"fOptions", "fExoticOptions", and "fAsianOptions" packages.

On Wed, 2010-07-21 at 14:10 +0530, Suman Narayan wrote:

> Hi,
> I am currently doing a project in which I wish to calculate the
> calculate the theoretical price of options using the following models:
> 
> 1. Constant Elasticity of Variance (CEV) model
> 2. Merton's jump diffusion model
> 3. Variance Gamma model
> 
> For Black Scholes, I found a function call "BlackScholesOption". Is
> there any function call to implement these option pricing models.
> I am not sure as to how to implement this in R. I request you to help
> me in this regard.
> 
> Thanks,
> ~Suman
> 
> _______________________________________________
> R-SIG-Finance@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.
> 



	[[alternative HTML version deleted]]

