Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies

Black-Scholes model [Black (1973) ] 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) ] by Monte Carlo methods. This package can be used for computational finance.


Reference manual

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1.3 by Masashi Okada, 2 months ago

Browse source code at

Authors: Masashi Okada [aut, cre]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports igraph, graphics, stats, utils, png

Suggests R.rsp

See at CRAN