Jdmbs: Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies

Black-Scholes model [Black (1973) <doi:10.1086/260062>] is important to calculate option premiums in the stock market, and variety of improved models are studied. In this package, I propose methods in order to calculate both Black-Scholes model and Jump diffusion model [Kou (2002) <doi:10.1287/mnsc.48.8.1086.166>] by Monte Carlo methods. This package can be used for computational finance.

Version: 1.1
Depends: R (≥ 3.2.3)
Imports: igraph, rmarkdown, graphics, stats, utils, png
Suggests: knitr
Published: 2018-01-16
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_1.1.tar.gz
Windows binaries: r-prerel: Jdmbs_1.1.zip, r-release: Jdmbs_1.1.zip, r-oldrel: Jdmbs_1.1.zip
OS X binaries: r-prerel: Jdmbs_1.1.tgz, r-release: Jdmbs_1.1.tgz
Old sources: Jdmbs archive


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