jirotubuyaki/Jdmbs: Monte Carlo Option Pricing Algorithm for Jump Diffusion Model with Correlation Companies
Version 1.1

Black-Scholes Model [Black (1973) ] is important to calculate option premium in the stock market. And variety of improved models are studied. In this package, I proposed functions in order to calculate normal and new Jump Diffusion Models [Kou (2002) ] by Monte Carlo Method. This package can be used for Computational Finance.

Package details

AuthorMasashi Okada [aut, cre]
Date of publication2018-01-15 10:47:11
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 Jan. 20, 2018, 11:47 p.m.