| Name : R-Jdmbs
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| Version : 1.4
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp153.14.4
| Date : 2024-06-14 11:50:43
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| Group : Development/Libraries/Other
| Source RPM : R-Jdmbs-1.4-lp153.14.4.src.rpm
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| Size : 0.17 MB
| |
| Packager : (none)
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| Summary : Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies
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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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RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
