Jdmbs: Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies
Version 1.1

Black-Scholes model [Black (1973) ] 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) ] by Monte Carlo methods. This package can be used for computational finance.

Package details

AuthorMasashi Okada [aut, cre]
Date of publication2018-01-16 11:27:07 UTC
MaintainerMasashi Okada <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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Jdmbs documentation built on Jan. 20, 2018, 9:41 a.m.