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I am trying to get the historical price data on selected American and European style options at EUREX. I am not familiar with their system. Does any one know whether they have something like yahoo finance where I can just download market data through R? Or at least, excel files with daily prices. Thank you

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Unfortunately the only possibility to get data from the biggest option exchange of the world is to buy these from EUREX directly (or some other professional data provider) - and they are quite expensive.

More infos can be found here (and some sample files):

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Yeah, that's the problem. I am a student and doing it for my thesis. I emailed them asking if I can use their data for specific dates for free but haven't gotten an answer yet. Thanks anyway! –  GKED Mar 30 '11 at 18:37
@GKED: What is the exact topic of your thesis? Perhaps there are other possibilites... –  vonjd Mar 30 '11 at 18:43

If you have access to an Interactive Brokers account - you can get historical data from them - they support EUREX options according to their site's product page:

To get the data - you can use their API's, or alternatively - use a third-party tool like this one:

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