FE-R

R

Financial Engineering in R

Last updated Jun 22, 2026

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Topics

#bachelier #black-scholes #derivatives #financial-engineering #implied-volatility #mathematical-finance #option-pricing #quantitative-finance

Language breakdown

R 95.6%

TeX 4.4%

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README

FE-R

Financial Engineering functions in R

R Package

https://cran.r-project.org/package=FER

Documentation

Package website: https://pyfe.github.io/FE-R/
Note: Black–Scholes implied volatility via the inverse Gaussian survival function

Contents

Black-Scholes option pricing model: price and implied volatility
Bachelier option pricing model: price and implied volatility

Installation

Install the devtools package and run

library(devtools)
devtools::install_github("PyFE/FE-R", subdir="pkg")

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