Monte Carlo Option Pricing Algorithm for Jump Diffusion Model with Correlation Companies

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.


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install.packages("Jdmbs")

1.0 by Masashi Okada, 7 months ago


Browse source code at https://github.com/cran/Jdmbs


Authors: Masashi Okada [aut, cre]


Documentation:   PDF Manual  


GPL (>= 2) license


Imports igraph, rmarkdown, graphics, stats, utils

Suggests knitr, testthat


See at CRAN