Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

Sensitivities of Prices of Financial Options and Implied Volatilites

Modelling and analysing the Asian call/put options compared to the standard European option as well as comparing two different modelling methods

Asian, American, European and barrier option pricing

Lab assignments of Financial Engineering Course MA374

The R code of the "Sum of all Black-Scholes-Merton models" paper

In this article, I present methods to efficiently estimate the price and the probability of exercise for vanilla and exotic options in R. In addition, I compare the empirical delta between European and average rate Asian options.

Vrednovanje azijskih opcija

An R Library published on CRAN for variance reduction algorithms.