data

<p>A dataset containing a  matrix of correlation coefficients between all pair companies. 6 row and 6 col.</p>

datasets

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.

Masashi Okada

Jdmbs

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

data function

<p>An object of class <code>function</code> of length 1.</p>

data: correlation coefficients between all pair companies

Description

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