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.


Reference manual

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1.0 by Masashi Okada, 9 months ago

Browse source code at

Authors: Masashi Okada [aut, cre]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports igraph, rmarkdown, graphics, stats, utils

Suggests knitr, testthat

See at CRAN