Package: JumpDiffSim 0.1.0

Kennedy Titus Kayaki

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.

Authors:Kennedy Titus Kayaki [aut, cre], Dohyun Oh [aut], Ju Seong Hyeon [aut], Lee Se Eun [aut], Choi Jiwoo [aut], Yuri Shin [aut]

JumpDiffSim_0.1.0.tar.gz
JumpDiffSim_0.1.0.tar.gz(r-4.7-any)JumpDiffSim_0.1.0.tar.gz(r-4.6-any)
JumpDiffSim_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
JumpDiffSim/json (API)
NEWS

# Install 'JumpDiffSim' in R:
install.packages('JumpDiffSim', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/kennedy2244/jumpdiffsim/issues

Pkgdown/docs site:https://kennedy2244.github.io

On CRAN:

Conda:

2.70 score 13 exports 18 dependencies

Last updated from:981778af06. Checks:4 OK. Indexed: no.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK181
source / vignettesOK186
linux-release-x86_64OK187
wasm-releaseOK113

Exports:confintdiagnosticPlotsfitfitMertonjdSampleDatajumpMomentsloglikmertonLogLikMertonModelpriceEuropeanshowsimulatesimulateMerton

Dependencies:clicpp11farverggplot2gluegtableisobandlabelinglifecyclenumDerivR6RColorBrewerrlangS7scalesvctrsviridisLitewithr

Getting Started with JumpDiffSim

Kennedy Kayaki, Dohyun Oh, Ju Seong Hyeon, Lee Se Eun, Choi Jiwoo, Yuri Shin

Rendered fromJumpDiffSim-intro.Rmdusingknitr::rmarkdownon Jun 03 2026.

Last update: 2026-06-03
Started: 2026-06-03