EMJumpDiffusion (1.4.1)

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EM-Algorithm for Jump Diffusion processes.

http://cran.r-project.org/web/packages/EMJumpDiffusion

Calculates parameters for Jump Diffusion processes via EM-Algorithm. The jumps-times are considered to be bernoulli distributed with normally distributed jump-sizes.

Maintainer: Matthias Graser,
Author(s): Matthias Graser

License: GPL (>= 2)

Uses: Does not use any package

Released almost 5 years ago.


1 previous version

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