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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