Black-Scholes Model [Black (1973) <doi:10.1086/260062>] 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) <doi:10.1287/mnsc.48.8.1086.166>] by Monte Carlo Method. This package can be used for Computational Finance.
| Version: | 1.0 |
| Depends: | R (≥ 3.2.3) |
| Imports: | igraph, rmarkdown, graphics, stats, utils |
| Suggests: | knitr, testthat |
| Published: | 2017-02-15 |
| Author: | Masashi Okada [aut, cre] |
| Maintainer: | Masashi Okada <okadaalgorithm at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| CRAN checks: | Jdmbs results |
| Reference manual: | Jdmbs.pdf |
| Vignettes: |
How to use package Jdmbs |
| Package source: | Jdmbs_1.0.tar.gz |
| Windows binaries: | r-devel: Jdmbs_1.0.zip, r-release: Jdmbs_1.0.zip, r-oldrel: Jdmbs_1.0.zip |
| OS X El Capitan binaries: | r-release: Jdmbs_1.0.tgz |
| OS X Mavericks binaries: | r-oldrel: Jdmbs_1.0.tgz |
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