Package: Jdmbs
Type: Package
Title: Monte Carlo Option Pricing Algorithm for Jump Diffusion Model
        with Correlation Companies
Version: 1.0
Date: 2017-02-15
Authors@R: c(
  person("Masashi", "Okada", role = c("aut", "cre"), email="okadaalgorithm@gmail.com")
  )
Description: Black-Scholes Model [Black (1973) <doi:10.1086/260062>] is important to calculate option premium in the stock market. And variety of improved models are studied. In this package, I proposed functions in order to calculate normal and new Jump Diffusion Models [Kou (2002) <doi:10.1287/mnsc.48.8.1086.166>] by Monte Carlo Method. This package can be used for Computational Finance.
Depends: R (>= 3.2.3)
License: GPL (>= 2)
Imports: igraph, rmarkdown, graphics, stats, utils
Encoding: UTF-8
LazyData: true
RoxygenNote: 5.0.1
Maintainer: Masashi Okada <okadaalgorithm@gmail.com>
Suggests: knitr, testthat
VignetteBuilder: knitr
NeedsCompilation: no
Packaged: 2017-02-15 14:33:21 UTC; okada
Author: Masashi Okada [aut, cre]
Repository: CRAN
Date/Publication: 2017-02-15 16:47:11
