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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.0 |
rolling linux/jammy R-4.5 | JumpDiffSim_0.1.0.tar.gz |
202.9 KiB |
0.1.0 |
rolling linux/noble R-4.5 | JumpDiffSim_0.1.0.tar.gz |
202.1 KiB |
0.1.0 |
rolling source/ R- | JumpDiffSim_0.1.0.tar.gz |
39.7 KiB |
0.1.0 |
latest linux/jammy R-4.5 | JumpDiffSim_0.1.0.tar.gz |
202.9 KiB |
0.1.0 |
latest linux/noble R-4.5 | JumpDiffSim_0.1.0.tar.gz |
202.1 KiB |
0.1.0 |
latest source/ R- | JumpDiffSim_0.1.0.tar.gz |
39.7 KiB |
0.1.0 |
2026-04-23 source/ R- | JumpDiffSim_0.1.0.tar.gz |
0 B |