Jdmbs: Monte Carlo Option Pricing Algorithm for Jump Diffusion Model with Correlation Companies

Black-Scholes Model [Black (1973) <doi:10.1086/260062>] is important to calculate option premium in the stock market. And variety of improved models are studied. In this package, I proposed functions in order to calculate normal and new Jump Diffusion Models [Kou (2002) <doi:10.1287/mnsc.48.8.1086.166>] by Monte Carlo Method. This package can be used for Computational Finance.

Version: 1.0
Depends: R (≥ 3.2.3)
Imports: igraph, rmarkdown, graphics, stats, utils
Suggests: knitr, testthat
Published: 2017-02-15
Author: Masashi Okada [aut, cre]
Maintainer: Masashi Okada <okadaalgorithm at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
CRAN checks: Jdmbs results


Reference manual: Jdmbs.pdf
Vignettes: How to use package Jdmbs
Package source: Jdmbs_1.0.tar.gz
Windows binaries: r-devel: Jdmbs_1.0.zip, r-release: Jdmbs_1.0.zip, r-oldrel: Jdmbs_1.0.zip
OS X Mavericks binaries: r-release: Jdmbs_1.0.tgz, r-oldrel: Jdmbs_1.0.tgz


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