Option Pricing and Estimation of Financial Models with R

Index

Lp integrability

Γ

χ2

δ

δ-hedging

δ-method

γ greek

G-stable convergence

ρ greek

σ-algebra

θ Greek

φ-mixing

:

?

absorbing state

adapted

addBBands

additive

AEAsian

American option

AmericanPutExp

AmericanPutImp

apply

arbitrage free

arbitrage opportunity

args

as

as.data.frame

as.Date

as.integer

as.ts

as.xts

as.zoo

asset price

assign

asymmetric double exponential

asymptotically unbiased estimator

asynchronous covariance estimator

attributes

backtest

basket option

BAWAmericanApproxOption

Bayes' rule

benchmark

Bermudan option

Bernoulli

sample

Bessel function

besselK

best linear unbiased estimator

Beta

bias

bilateral gamma

binary

binomial

Borel

Brown

Brownian motion

multidimensional

translated

two-sided

BSAmericanApproxOption

Burkholder-Davis-Gundy inequality

c

càd-làg process

call option

Cantelli

cat

Cauchy

Cauchy functional equation

Cauchy-Schwarz-Bunyakovsky inequality

cce

CGMY

process

change point

Chapman-Kolomogorov equation

character

characteristic

exponent

function

de Finetti

triplet

charSeries

chartSeries

Chebyshev inequality

Chebyshev-Cantelli inequality

Chebyshev-Markov inequality

clusterSetupRNG

coefficient

diffusion

drift

compensated Poisson random measure

compensator

complementary

complete additivity

completeness

complex conjugate

complex

compound Poisson process

conditional

expectation

probability

confint

consistent estimator

contingent claim

continuous

mapping theorem

random variable

time

Markov chain

convergence

almost sure

in r-th mean

in distribution