Jdmbs (1.3)

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


Black-Scholes model [Black (1973) ] is important to calculate option prices in the stock market and a 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.

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

License: GPL (>= 2)

Uses: igraph, png, R.rsp

Released 4 months ago.

3 previous versions



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