Simulation and pricing routines for rare-event options using Adaptive Multilevel Splitting and standard Monte Carlo under Black-Scholes and Heston models. Core routines are implemented in C++ via Rcpp and RcppArmadillo with lightweight R wrappers.
| Version: | 0.1.0 |
| Depends: | R (≥ 4.1) |
| Imports: | Rcpp (≥ 1.0.0) |
| LinkingTo: | Rcpp, RcppArmadillo |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2025-10-31 |
| DOI: | 10.32614/CRAN.package.amsSim |
| Author: | Riccardo Gozzo [aut, cre] |
| Maintainer: | Riccardo Gozzo <gozzoriccardo0 at gmail.com> |
| BugReports: | https://github.com/RiccardoGozzo/amsSim/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/RiccardoGozzo/amsSim, https://arxiv.org/html/2510.23461v1 |
| NeedsCompilation: | yes |
| SystemRequirements: | C++17 |
| Language: | en-US |
| Citation: | amsSim citation info |
| Materials: | README, NEWS |
| CRAN checks: | amsSim results |
| Reference manual: | amsSim.html , amsSim.pdf |
| Package source: | amsSim_0.1.0.tar.gz |
| Windows binaries: | r-devel: amsSim_0.1.0.zip, r-release: amsSim_0.1.0.zip, r-oldrel: amsSim_0.1.0.zip |
| macOS binaries: | r-release (arm64): amsSim_0.1.0.tgz, r-oldrel (arm64): amsSim_0.1.0.tgz, r-release (x86_64): amsSim_0.1.0.tgz, r-oldrel (x86_64): amsSim_0.1.0.tgz |
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