Package: Jdmbs
Type: Package
Version: 1.4
Title: Monte Carlo Option Pricing Algorithms for Jump Diffusion Models
        with Correlational Companies
Description: 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.
Date: 2020-04-27
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 (>= 3.6.0)
License: GPL (>= 2)
Imports: igraph, graphics, stats, utils, png, ggplot2
Suggests: R.rsp
VignetteBuilder: R.rsp
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.1.0
NeedsCompilation: no
Config/pak/sysreqs: libglpk-dev libpng-dev libxml2-dev
Repository: https://jirotubuyaki.r-universe.dev
Date/Publication: 2020-06-07 06:04:59 UTC
RemoteUrl: https://github.com/jirotubuyaki/jdmbs
RemoteRef: HEAD
RemoteSha: 4fa20800dfb124d6d82194cd5935c11d0da2165d
Packaged: 2026-06-21 10:38:07 UTC; root