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.
|Author||Masashi Okada [aut, cre]|
|Maintainer||Masashi Okada <firstname.lastname@example.org>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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