Package: JumpDiffSim 0.1.0
JumpDiffSim: Jump Diffusion Simulation and Calibration for Merton and Kou Models
Implements the Merton (1976) <doi:10.1016/0304-405X(76)90022-2> and Kou (2002) <doi:10.1287/mnsc.48.8.1086.166> jump-diffusion models through a unified S4 object-oriented interface. Provides exact compound-Poisson asset price simulation, maximum likelihood parameter estimation with Hessian-based standard errors, Wald-type confidence intervals, European option pricing via the Merton analytic series expansion, and publication-quality diagnostic plots. All functionality operates entirely offline without market data dependencies.
Authors:
JumpDiffSim_0.1.0.tar.gz
JumpDiffSim_0.1.0.zip(r-4.7)JumpDiffSim_0.1.0.zip(r-4.6)JumpDiffSim_0.1.0.zip(r-4.5)
JumpDiffSim_0.1.0.tgz(r-4.6-any)JumpDiffSim_0.1.0.tgz(r-4.5-any)
JumpDiffSim_0.1.0.tar.gz(r-4.7-any)JumpDiffSim_0.1.0.tar.gz(r-4.6-any)
JumpDiffSim_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
JumpDiffSim/json (API)
NEWS
| # Install 'JumpDiffSim' in R: |
| install.packages('JumpDiffSim', repos = c('https://kennedy2244.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/kennedy2244/jumpdiffsim/issues
Pkgdown/docs site:https://kennedy2244.github.io
Last updated from:e82f25ca97. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 187 | ||
| source / vignettes | OK | 192 | ||
| linux-release-x86_64 | OK | 183 | ||
| macos-release-arm64 | OK | 194 | ||
| macos-oldrel-arm64 | OK | 180 | ||
| windows-devel | OK | 166 | ||
| windows-release | OK | 171 | ||
| windows-oldrel | OK | 176 | ||
| wasm-release | OK | 109 |
Exports:confintdiagnosticPlotsfitfitMertonjdSampleDatajumpMomentsloglikmertonLogLikMertonModelpriceEuropeanshowsimulatesimulateMerton
Dependencies:clicpp11farverggplot2gluegtableisobandlabelinglifecyclenumDerivR6RColorBrewerrlangS7scalesvctrsviridisLitewithr
