CRAN

Jdmbs 1.3

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

Released May 1, 2018 by Masashi Okada

This package can be loaded by Renjin but 2 out 3 tests failed.

Dependencies

png 0.1-7 igraph 1.2.1

Black-Scholes model [Black (1973) ] is important to calculate option prices in the stock market and a variety of improved models are studied. In this package, I propose methods in order to calculate both Black-Scholes model and Jump diffusion model [Kou (2002) ] by Monte Carlo methods. This package can be used for computational finance.

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>Jdmbs</artifactId>
    <version>1.3-b2</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

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Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:Jdmbs')

Test Results

This package was last tested against Renjin 0.9.2644 on Jun 2, 2018.

Source

R

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Release History