Adaptive Multilevel Splitting for Option Simulation and Pricing [R package amsSim version 0.1.0]

Riccardo Gozzo

amsSim: Adaptive Multilevel Splitting for Option Simulation and Pricing

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年10月31日

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

Documentation:

Reference manual: amsSim.html , amsSim.pdf

Downloads:

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

Linking:

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