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