EMJumpDiffusion (1.4.1)
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 about 4 years ago.
1 previous version
- EMJumpDiffusion_1.4. Released about 4 years ago.
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