Package: Jdmbs 1.4

Jdmbs: Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies

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) <doi:10.1086/260062>] or jump diffusion processes [Kou (2002) <doi:10.1287/mnsc.48.8.1086.166>]. 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.

Authors:Masashi Okada [aut, cre]

Jdmbs_1.4.tar.gz
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Jdmbs_1.4.tgz(r-4.4-any)Jdmbs_1.4.tgz(r-4.3-any)
Jdmbs_1.4.tar.gz(r-4.5-noble)Jdmbs_1.4.tar.gz(r-4.4-noble)
Jdmbs_1.4.tgz(r-4.4-emscripten)Jdmbs_1.4.tgz(r-4.3-emscripten)
Jdmbs.pdf |Jdmbs.html✨
Jdmbs/json (API)
NEWS

# Install 'Jdmbs' in R:
install.packages('Jdmbs', repos = c('https://jirotubuyaki.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/jirotubuyaki/jdmbs/issues

Datasets:
  • data - Correlation coefficients between all pair companies

On CRAN:

black-scholesbrownian-motioncomputational-financederivativesfinancefinancial-analysisfinancial-engineeringjump-diffusionmonte-carlooptionoption-pricingsdestochastic-differential-equationsstochastic-processesstock-market

5.15 score 28 stars 6 scripts 172 downloads 3 exports 31 dependencies

Last updated 4 years agofrom:4fa20800df. Checks:OK: 1 NOTE: 6. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 14 2024
R-4.5-winNOTENov 14 2024
R-4.5-linuxNOTENov 14 2024
R-4.4-winNOTENov 14 2024
R-4.4-macNOTENov 14 2024
R-4.3-winNOTENov 14 2024
R-4.3-macNOTENov 14 2024

Exports:jdm_bsjdm_new_bsnormal_bs

Dependencies:clicolorspacecpp11fansifarverggplot2gluegtableigraphisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigpngR6RColorBrewerrlangscalestibbleutf8vctrsviridisLitewithr

How to use package Jdmbs

Rendered fromJdmbs-vignette.pdf.asisusingR.rsp::asison Nov 14 2024.

Last update: 2018-05-01
Started: 2018-05-01