jirotubuyaki/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.

Getting started

Package details

AuthorMasashi Okada [aut, cre]
MaintainerMasashi Okada <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
jirotubuyaki/Jdmbs documentation built on May 5, 2018, 5:35 p.m.