Jdmbs

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

Masashi Okada

Last update: 24 July 2020

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.4

Source code repository: https://github.com/cran/Jdmbs

Cites work

• The pricing of options and corporate liabilities
• A Jump-Diffusion Model for Option Pricing

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