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amsSim  

Adaptive Multilevel Splitting for Option Simulation and Pricing
View on CRAN: Click here


Download and install amsSim package within the R console
Install from CRAN:
install.packages("amsSim")

Install from Github:
library("remotes")
install_github("cran/amsSim")

Install by package version:
library("remotes")
install_version("amsSim", "0.1.0")



Attach the package and use:
library("amsSim")
Maintained by
Riccardo Gozzo
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-10-31
Latest Update: 2025-10-31
Description:
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.
How to cite:
Riccardo Gozzo (2025). amsSim: Adaptive Multilevel Splitting for Option Simulation and Pricing. R package version 0.1.0, https://cran.r-project.org/web/packages/amsSim. Accessed 17 Jul. 2026.
Previous versions and publish date:
No previous versions
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View amsSim citation profile
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Complete documentation for amsSim
Functions, R codes and Examples using the amsSim R package
Full amsSim package functions and examples
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