Jdmbs
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.
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CRAN Check Status
Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (2 non-OK)
CRAN incoming feasibility
Maintainer: ‘Masashi Okada <okadaalgorithm@gmail.com>’
Found the following (possibly) invalid file URI:
URI: okadaalgorithm@gmail.com
From: inst/doc/Jdmbs-vignette.pdf
CRAN incoming feasibility
Maintainer: ‘Masashi Okada <okadaalgorithm@gmail.com>’
Found the following (possibly) invalid file URI:
URI: okadaalgorithm@gmail.com
From: inst/doc/Jdmbs-vignette.pdf
Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
CRAN incoming feasibility
Maintainer: ‘Masashi Okada <okadaalgorithm@gmail.com>’
Found the following (possibly) invalid file URI:
URI: okadaalgorithm@gmail.com
From: inst/doc/Jdmbs-vignette.pdf
CRAN incoming feasibility
Maintainer: ‘Masashi Okada <okadaalgorithm@gmail.com>’
Found the following (possibly) invalid file URI:
URI: okadaalgorithm@gmail.com
From: inst/doc/Jdmbs-vignette.pdf