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What are the best packages in R or most comprehensive packages in R for option pricing and working with options?

Thanks!

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  • $\begingroup$ @alexC you should post as an answer $\endgroup$ – Rime May 10 '18 at 16:01
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You may want to browse the Task View for empirical finance, which lists many options-related packages.

As for concrete suggestions: I have worked a lot with RQuantLib in the past, and I have found it a reliable and stable package.

Perhaps I may also suggest NMOF, which I maintain. It provides implementations of a number of models (Black/Scholes/Merton, Merton jump-diffusion, Heston, ...). It also implements the approach of Bakshi/Madan (2000) for pricing based on the characteristic function. The implementation is essentially the one described in this paper on Calibrating Option Pricing Models.

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Besides those mentioned by Alex C., the package 'RND' provides various tools for computing risk-neutral densities from option prices, and also provides some pricing functions for various models. RND package on CRAN. The package 'VarianceGamma' provides tools for, inter alia, fitting a variance-gamma distribution to historical data complete with automatically generated histograms and QQ-plots. VarianceGamma package on CRAN.

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  • $\begingroup$ RND is an awesome tool, +1. $\endgroup$ – Lisa Ann May 16 at 21:18
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You may want to investigate, among others, RQuantlib, derivmkts, fOptions, OptionPricing, M4FE. I have no detailed information about these, I have just seen or heard them mentioned (here or in other places).

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