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

Black-Scholes model [Black (1973) <doi:10.1086/260062>] 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) <doi:10.1287/mnsc.48.8.1086.166>] by Monte Carlo methods. This package can be used for computational finance.

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Package details

AuthorMasashi Okada [aut, cre]
MaintainerMasashi Okada <okadaalgorithm@gmail.com>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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Jdmbs documentation built on May 2, 2019, 7:59 a.m.