Package: Jdmbs
Type: Package
Version: 1.1
Title: Monte Carlo Option Pricing Algorithm for Jump Diffusion Models
        with Correlational Companies
Description: Black-Scholes model [Black (1973) <doi:10.1086/260062>] is important to calculate option premiums in the stock market, and 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.
Date: 2018-01-15
Authors@R: c(
  person("Masashi", "Okada", role = c("aut", "cre"), email="okadaalgorithm@gmail.com")
  )
Author: Masashi Okada [aut, cre]
Maintainer: Masashi Okada <okadaalgorithm@gmail.com>
Depends: R (>= 3.2.3)
License: GPL (>= 2)
Imports: igraph, rmarkdown, graphics, stats, utils, png
Suggests: knitr
Encoding: UTF-8
LazyData: true
RoxygenNote: 6.0.1
VignetteBuilder: knitr
NeedsCompilation: no
Repository: CRAN
Packaged: 2018-01-16 08:40:16 UTC; okada
Date/Publication: 2018-01-16 11:27:07 UTC
