Black-Scholes model [Black (1973) <doi:10.1086/260062>] 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) <doi:10.1287/mnsc.48.8.1086.166>] by Monte Carlo methods. This package can be used for computational finance.
| Version: | 1.3 |
| Depends: | R (≥ 3.2.3) |
| Imports: | igraph, graphics, stats, utils, png |
| Suggests: | R.rsp |
| Published: | 2018-05-01 |
| 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_1.3.tar.gz |
| Windows binaries: | r-devel: Jdmbs_1.3.zip, r-release: Jdmbs_1.3.zip, r-oldrel: Jdmbs_1.3.zip |
| OS X binaries: | r-release: Jdmbs_1.3.tgz, r-oldrel: Jdmbs_1.3.tgz |
| Old sources: | Jdmbs archive |
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