Jdmbs
Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies
Description
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.
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CRAN Check Status
Show all 13 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (2 non-OK)
CRAN incoming feasibility
Maintainer: ‘Masashi Okada <okadaalgorithm@gmail.com>’
Found the following (possibly) invalid file URI:
URI: okadaalgorithm@gmail.com
From: inst/doc/Jdmbs-vignette.pdf
CRAN incoming feasibility
Maintainer: ‘Masashi Okada <okadaalgorithm@gmail.com>’
Found the following (possibly) invalid file URI:
URI: okadaalgorithm@gmail.com
From: inst/doc/Jdmbs-vignette.pdf
Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
CRAN incoming feasibility
Maintainer: ‘Masashi Okada <okadaalgorithm@gmail.com>’
Found the following (possibly) invalid file URI:
URI: okadaalgorithm@gmail.com
From: inst/doc/Jdmbs-vignette.pdf
CRAN incoming feasibility
Maintainer: ‘Masashi Okada <okadaalgorithm@gmail.com>’
Found the following (possibly) invalid file URI:
URI: okadaalgorithm@gmail.com
From: inst/doc/Jdmbs-vignette.pdf
Code & tests
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Code
Structure
Lines of code
683
Files
17
Compiled share
0%
Has compiled src
No
Language breakdown
API
Exported functions
3
Internal functions
0
Recent export changes
Testing & CI
Has tests
No
Test-to-code ratio
0.00
testthat edition
–
CI present
No
CI type
[]
PR gated
No
Docs
Return-value doc rate
100%
\dontrun example ratio
0%
Roxygen coverage
100%
Has pkgdown
No
NEWS present
Yes
Health & Security signals
Informational signals; not verdicts.
on.exit coverage
–
Unsafe pattern score
0
Dep constraint coverage
0%
Secret pattern count
0
Bundled 3rd-party code
2 items
Portability & License
Min R version
3.6.0
System requirements
–
C++ standard
–
License
GPL (>= 2)
License flags
SPDX valid, OSI approved
History
Versions
5
First release
2017-02-15
Latest release
2020-07-24
Avg cadence
217 days
Cold removal rate
–
Dep drift
3
LOC over versions
Per-file churn detail lives in the source pipeline: https://github.com/r-observatory/cran-code-metrics.