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

Option is a one of the financial derivatives and its pricing is an important problem in practice. The process of stock prices are represented as Geometric Brownian motion [Black (1973) <doi:10.1086/260062>] or jump diffusion processes [Kou (2002) <doi:10.1287/mnsc.48.8.1086.166>]. In this package, algorithms and visualizations are implemented by Monte Carlo method in order to calculate European option price for three equations by Geometric Brownian motion and jump diffusion processes and furthermore a model that presents jumps among companies affect each other.

Version: 1.4
Depends: R (≥ 3.6.0)
Imports: igraph, graphics, stats, utils, png, ggplot2
Suggests: R.rsp
Published: 2020-07-24
DOI: 10.32614/CRAN.package.Jdmbs
Author: Masashi Okada [aut, cre]
Maintainer: Masashi Okada <okadaalgorithm at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Materials: NEWS
CRAN checks: Jdmbs results


Reference manual: Jdmbs.pdf
Vignettes: How to use package Jdmbs


Package source: Jdmbs_1.4.tar.gz
Windows binaries: r-devel: Jdmbs_1.4.zip, r-release: Jdmbs_1.4.zip, r-oldrel: Jdmbs_1.4.zip
macOS binaries: r-release (arm64): Jdmbs_1.4.tgz, r-oldrel (arm64): Jdmbs_1.4.tgz, r-release (x86_64): Jdmbs_1.4.tgz, r-oldrel (x86_64): Jdmbs_1.4.tgz
Old sources: Jdmbs archive


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