Jdmbs (1.1)

0 users

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


Black-Scholes model [Black (1973) ] is important to calculate option premiums in the stock market, and 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, rmarkdown, knitr

Released 2 months ago.

1 previous version



  (0 votes)


  (0 votes)

Log in to vote.


No one has written a review of Jdmbs yet. Want to be the first? Write one now.

Related packages:(20 best matches, based on common tags.)

Search for Jdmbs on google, google scholar, r-help, r-devel.

Visit Jdmbs on R Graphical Manual.