Just noticed this beauty:
PlainVanillaOptions package:fOptions R Documentation
Valuation of Plain Vanilla Options
Description:
A collection and description of functions to valuate plain vanilla
options. Included are functions for the Generalized Block-Scholes
^^^^^^^^^^^^^
Dirk
--
Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com