Package index • JumpDiffSim

Model Classes

S4 class definitions for jump-diffusion models

MertonModel(): Create a MertonModel Object
show(<MertonModel>): MertonModel: Merton (1976) Jump-Diffusion Model
JumpDiffModel-class: JumpDiffModel: Virtual Base Class for Jump-Diffusion Models
JDSimResult-class: JDSimResult: Simulation Output Class
show(<JDFitResult>) confint(<JDFitResult>): JDFitResult: MLE Estimation Output Class

Generic Functions

S4 generic function definitions

simulate(): Simulate Asset Price Paths
fit(): Fit Model to Log-Returns via MLE
loglik(): Compute Negative Log-Likelihood
jumpMoments(): Theoretical Moments of the Log-Return Distribution

Simulation

Simulate asset price paths

simulateMerton(): Simulate Merton Jump-Diffusion Asset Paths
jdSampleData(): Generate Synthetic Log-Returns from a Jump-Diffusion Model
diagnosticPlots(): Diagnostic Plots for a JDSimResult Object

Estimation

Fit models via maximum likelihood

mertonLogLik(): Negative Log-Likelihood for the Merton Jump-Diffusion Model
fitMerton(): Fit Merton Jump-Diffusion Model via MLE

Option Pricing

European option pricing under jump-diffusion models

priceEuropean(): Price a European Option under the Merton Jump-Diffusion Model

Methods

S4 method implementations

jumpMoments(<MertonModel>): Theoretical Moments of the Merton Jump-Diffusion Log-Return