Black-Scholes Model [Black (1973) ] 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) ] by Monte Carlo Method. This package can be used for Computational Finance.

Documentation

Manual: Jdmbs.pdf
Vignette: How to use package Jdmbs

Maintainer: Masashi Okada <okadaalgorithm at gmail.com>

Author(s): Masashi Okada*

Install package and any missing dependencies by running this line in your R console:

install.packages("Jdmbs")

Depends R (>= 3.2.3)
Imports igraph, rmarkdown, graphics, stats, utils
Suggests knitr, testthat
Enhances
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Package Jdmbs
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Version 1.0
Published 2017-02-15
License GPL (>= 2)
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NeedsCompilation no
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Package source Jdmbs_1.0.tar.gz