Jdmbs (1.0)

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Monte Carlo Option Pricing Algorithm for Jump Diffusion Model with Correlation Companies.

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

Black-Scholes Model [Black (1973) ] is important to calculate option premium in the stock market. And variety of improved models are studied. In this package, I proposed functions in order to calculate normal and new Jump Diffusion Models [Kou (2002) ] by Monte Carlo Method. This package can be used for Computational Finance.

Maintainer: Masashi Okada
Author(s): Masashi Okada [aut, cre]

License: GPL (>= 2)

Uses: igraph, rmarkdown, testthat, knitr

Released 2 months ago.


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