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-4.5-any)Jdmbs_1.4.tgz(r-4.4-any)Jdmbs_1.4.tgz(r-4.3-any)
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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'))

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

Datasets:
  • data - Correlation coefficients between all pair companies

On CRAN:

Conda-Forge:

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

5.15 score 28 stars 6 scripts 262 downloads 3 exports 31 dependencies

Last updated 5 years agofrom:4fa20800df. Checks:1 OK, 7 NOTE. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKFeb 22 2025
R-4.5-winNOTEFeb 22 2025
R-4.5-macNOTEFeb 22 2025
R-4.5-linuxNOTEFeb 22 2025
R-4.4-winNOTEFeb 22 2025
R-4.4-macNOTEFeb 22 2025
R-4.3-winNOTEFeb 22 2025
R-4.3-macNOTEFeb 22 2025

Exports:jdm_bsjdm_new_bsnormal_bs

Dependencies:clicolorspacecpp11fansifarverggplot2gluegtableigraphisobandlabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigpngR6RColorBrewerrlangscalestibbleutf8vctrsviridisLitewithr

How to use package Jdmbs

Rendered fromJdmbs-vignette.pdf.asisusingR.rsp::asison Feb 22 2025.

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