Other packages > Find by keyword >

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 25 Jun. 2026.
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
View Jdmbs citation profile
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
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

sitmo  
Parallel Pseudo Random Number Generator (PPRNG) 'sitmo' Header Files
Provided within are two high quality and fast PPRNGs that may be used in an 'OpenMP' parallel enviro ...
Download / Learn more Package Citations See dependency  
edeaR  
Exploratory and Descriptive Event-Based Data Analysis
Exploratory and descriptive analysis of event based data. Provides methods for describing and select ...
Download / Learn more Package Citations See dependency  
airGRiwrm  
'airGR' Integrated Water Resource Management
Semi-distributed Precipitation-Runoff Modelling based on 'airGR' package models integrating human i ...
Download / Learn more Package Citations See dependency  
foster  
Forest Structure Extrapolation with R
Set of tools to streamline the modeling of the relationship betweensatellite imagery time series or ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  

27,535

R Packages

236,180

Dependencies

73,223

Author Associations

27,536

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA