Estimation of value and hedging strategy of call and put
options.
Estimation of value and hedging strategy of call and put options, based on optimal hedging and Monte Carlo method, from Chapter 3 of 'Statistical Methods for Financial Engineering', by Bruno Remillard, CRC Press, (2013).

Estimation of Optimal Size for a Holdout Set for Updating a
Predictive Score
c(person(given = "Sami",
family = "Haidar-Wehbe",
role = c("aut"),
email = "sami.haidar96@gmail.com"),
person(given = "Sam",
family = "Emerson",
role = c("aut"),
email = "samuel.r.emerson@durham.ac.uk",
comment = c(ORCID = "0000-0002-8379-2781")),
person(given = "Louis",
family = "Aslett",
role = c("aut"),
email = "louis.aslett@durham.ac.uk",
comment = c(ORCID = "0000-0003-2211-233X")),
person(given = "James",
family = "Liley",
role = c("cre","aut"),
email = "james.liley@durham.ac.uk",
comment = c(ORCID = "0000-0002-0049-8238")))
Predictive scores must be updated with care, because actions taken on the basis of existing risk scores causes bias in risk estimates from the updated score. A holdout set is a straightforward way to manage this problem: a proportion of the population is 'held-out' from computation of the previous risk score. This package provides tools to estimate a size for this holdout set and associated errors. Comprehensive vignettes are included.
R (>= 3.5.0), matrixStats, mnormt, mvtnorm, ranger, mle.tools
Sami Haidar-Wehbe [aut],
Sam Emerson [aut] (<https://orcid.org/0000-0002-8379-2781>),
Louis Aslett [aut] (<https://orcid.org/0000-0003-2211-233X>),
James Liley [cre, aut] (<https://orcid.org/0000-0002-0049-8238>)

Predictive scores must be updated with care, because actions taken on the basis of existing risk scores causes bias in risk estimates from the updated score. A holdout set is a straightforward way to manage this problem: a proportion of the population is 'held-out' from computation of the previous risk score. This package provides tools to estimate a size for this holdout set and associated errors. Comprehensive vignettes are included. Please see: Haidar-Wehbe S, Emerson SR, Aslett LJM, Liley J (2022) <arXiv:2202.06374> for details of methods.