Nothing
Jdmbs: Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies
Option is a one of the financial derivatives and its pricing is an important problem in practice. The process of stock prices are represented as Geometric Brownian motion [Black (1973) <doi:10.1086/260062>] or jump diffusion processes [Kou (2002) <doi:10.1287/mnsc.48.8.1086.166>]. In this package, algorithms and visualizations are implemented by Monte Carlo method in order to calculate European option price for three equations by Geometric Brownian motion and jump diffusion processes and furthermore a model that presents jumps among companies affect each other.
Getting started
Browse package contents
Package details |
|
|---|---|
| Author | Masashi Okada [aut, cre] |
| Maintainer | Masashi Okada <okadaalgorithm@gmail.com> |
| License | GPL (>= 2) |
| Version | 1.4 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
|
Try the Jdmbs package in your browser
Any scripts or data that you put into this service are public.
