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.


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install.packages("Jdmbs")

1.2 by Masashi Okada, 14 hours 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, png

Suggests knitr


See at CRAN