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Jdmbs  

Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies
View on CRAN: Click here


Download and install Jdmbs package within the R console
Install from CRAN:
install.packages("Jdmbs")

Install from Github:
library("remotes")
install_github("cran/Jdmbs")

Install by package version:
library("remotes")
install_version("Jdmbs", "1.4")



Attach the package and use:
library("Jdmbs")
Maintained by
Masashi Okada
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2017-02-15
Latest Update: 2020-07-24
Description:
Option is a one of the financial derivatives and its pricing is an important problem in practice. The process of stock prices are represented as Geometric Brownian motion [Black (1973) ] or jump diffusion processes [Kou (2002) ]. In this package, algorithms and visualizations are implemented by Monte Carlo method in order to calculate European option price for three equations by Geometric Brownian motion and jump diffusion processes and furthermore a model that presents jumps among companies affect each other.
How to cite:
Masashi Okada (2017). Jdmbs: Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies. R package version 1.4, https://cran.r-project.org/web/packages/Jdmbs. Accessed 07 Nov. 2024.
Previous versions and publish date:
1.0 (2017-02-15 16:47), 1.1 (2018-01-16 12:27), 1.2 (2018-04-26 00:50), 1.3 (2018-05-02 00:44)
Other packages that cited Jdmbs R package
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Other R packages that Jdmbs depends, imports, suggests or enhances
Complete documentation for Jdmbs
Functions, R codes and Examples using the Jdmbs R package
Some associated functions: data . jdm_bs . jdm_new_bs . normal_bs . 
Some associated R codes: DataDocument.R . Jdmbs.R . JdmbsJump.R . JdmbsNewJump.R .  Full Jdmbs package functions and examples
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