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
Jdmbs_1.4.zip(r-4.7)Jdmbs_1.4.zip(r-4.6)Jdmbs_1.4.zip(r-4.5)
Jdmbs_1.4.tgz(r-4.6-any)Jdmbs_1.4.tgz(r-4.5-any)
Jdmbs_1.4.tar.gz(r-4.7-any)Jdmbs_1.4.tar.gz(r-4.6-any)
Jdmbs_1.4.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
Jdmbs/json (API)

# 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:

black-scholes brownian-motion computational-finance derivatives finance financial-analysis financial-engineering jump-diffusion monte-carlo option option-pricing sde stochastic-differential-equations stochastic-processes stock-market

5.16 score 29 stars 7 scripts 250 downloads 3 exports 23 dependencies

Last updated from:4fa20800df. Checks:7 NOTE, 2 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	NOTE	131
source / vignettes	OK	171
linux-release-x86_64	NOTE	124
macos-release-arm64	NOTE	157
macos-oldrel-arm64	NOTE	138
windows-devel	NOTE	100
windows-release	NOTE	89
windows-oldrel	NOTE	75
wasm-release	OK	103

Exports:jdm_bs jdm_new_bs normal_bs

Dependencies:cli cpp11 farver ggplot2 glue gtable igraph isoband labeling lattice lifecycle magrittr Matrix pkgconfig png R6 RColorBrewer rlang S7 scales vctrs viridisLite withr

How to use package Jdmbs

Rendered fromJdmbs-vignette.pdf.asisusingR.rsp::asis

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

Help page	Topics
correlation coefficients between all pair companies	data
A Monte Carlo Option Pricing Algorithm for Jump Diffusion Model	jdm_bs
A Monte Carlo Option Pricing Algorithm for Jump Diffusion Model with Correlational Companies	jdm_new_bs
A Normal Monte Carlo Option Pricing Algorithm	normal_bs

Package: Jdmbs 1.4

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

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Help Manual

Usage by other packages (reverse dependencies)