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Characteristic-function based option pricer.
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R price options and simultaneously calculate greeks in affine models --… Jun 4, 2019
man roxygen doc update May 3, 2017
src Rcpp update Jul 12, 2018
.gitignore added cpp clone of gaussLaguerre pricer Jun 8, 2016
DESCRIPTION roxygen doc update May 3, 2017
NAMESPACE added cpp clone of gaussLaguerre pricer Jun 8, 2016


Characteristic-function based option pricer.

The cosTransform pricer uses the method described in

The gaussLaguerre pricer evaluates the CF integrals from with the use of Gauss-Laguerre quadrature of the difference between the calculated CF and known auxiliary model (Black-Scholes).


To install the package first load the devtools library and type

install_github(repo= "piotrek-orlowski/transformOptionPricer")


The package allows for calculating vanilla option prices via numerical integration of (a transform of) the characteristic function of the log stock return. Thus, it allows for calculation prices in the Black-Scholes model, any model based on a Levy process, and in affine and quadratic-affine jump-diffusion models.

By default, the package loads affineModelR (, which allows for calculating CF values in affine jump diffusion models.


The file contains example calculations and some accuracy checks.


The package is being developed by Piotr Orłowski from a codebase started together with Andras Sali (

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