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

Black-Scholes model [Black (1973) ] is important to calculate option premiums in the stock market, and 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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1.1 by Masashi Okada, a month ago

Browse source code at

Authors: Masashi Okada [aut, cre]

Documentation:   PDF Manual  

GPL (>= 2) license

Imports igraph, rmarkdown, graphics, stats, utils, png

Suggests knitr

See at CRAN