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.
| 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 (may not be active yet) |
| 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 |
Documentation:
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