Jdmbs: Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies
Version 1.3

Black-Scholes model [Black (1973) ] is important to calculate option prices in the stock market and a 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) ] by Monte Carlo methods. This package can be used for computational finance.

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Package details

AuthorMasashi Okada [aut, cre]
Date of publication2018-05-01 22:44:51 UTC
MaintainerMasashi Okada <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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Jdmbs documentation built on May 2, 2018, 1:04 a.m.