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.
| Version: | 0.1.0 |
| Depends: | R (≥ 4.1.0) |
| Imports: | methods, stats, ggplot2 (≥ 4.0.2), numDeriv (≥ 2016.8.1.1) |
| Suggests: | knitr, pkgdown, rmarkdown, covr, testthat (≥ 3.0.0) |
| Published: | 2026-06-03 |
| DOI: | 10.32614/CRAN.package.JumpDiffSim |
| Author: | Kennedy Titus Kayaki [aut, cre], Dohyun Oh [aut], Ju Seong Hyeon [aut], Lee Se Eun [aut], Choi Jiwoo [aut], Yuri Shin [aut] |
| Maintainer: | Kennedy Titus Kayaki <kennedy_2244 at yu.ac.kr> |
| BugReports: | https://github.com/kennedy2244/JumpDiffSim/issues |
| License: | GPL (≥ 3) |
| URL: | https://kennedy2244.github.io/JumpDiffSim/, https://github.com/kennedy2244/JumpDiffSim |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | JumpDiffSim results |
| Reference manual: | JumpDiffSim.html , JumpDiffSim.pdf |
| Vignettes: |
Getting Started with JumpDiffSim (source, R code) |
| Package source: | JumpDiffSim_0.1.0.tar.gz |
| Windows binaries: | r-devel: JumpDiffSim_0.1.0.zip, r-release: JumpDiffSim_0.1.0.zip, r-oldrel: JumpDiffSim_0.1.0.zip |
| macOS binaries: | r-release (arm64): JumpDiffSim_0.1.0.tgz, r-oldrel (arm64): JumpDiffSim_0.1.0.tgz, r-release (x86_64): JumpDiffSim_0.1.0.tgz, r-oldrel (x86_64): JumpDiffSim_0.1.0.tgz |
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