Package: JumpDiffSim
Type: Package
Title: Jump Diffusion Simulation and Calibration for Merton and Kou
        Models
Version: 0.1.0
Authors@R: c(
    person(
      given = c ("Kennedy", "Titus"),
      family = "Kayaki",
      email = "kennedy_2244@yu.ac.kr",
      role = c("aut", "cre")),
    person (given = "Dohyun", family = "Oh", role = "aut"),
    person (given = "Ju Seong", family = "Hyeon", role = "aut"),
    person (given = "Lee", family = "Se Eun", role = "aut"),
    person (given = "Choi", family = "Jiwoo", role = "aut"),
    person (given = "Yuri", family = "Shin", role = "aut")
    )
Description: 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.
License: GPL (>= 3)
Encoding: UTF-8
RoxygenNote: 7.3.3
Collate: 'generics.R' 'kou_fit.R' 'kou_model.R' 'kou_sim.R'
        'merton_model.R' 'merton_fit.R' 'merton_price.R' 'merton_sim.R'
        'utils.R'
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)
Config/testthat/edition: 3
VignetteBuilder: knitr
URL: https://kennedy2244.github.io/JumpDiffSim/,
        https://github.com/kennedy2244/JumpDiffSim
BugReports: https://github.com/kennedy2244/JumpDiffSim/issues
NeedsCompilation: no
Packaged: 2026-05-30 10:25:35 UTC; kenne
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@yu.ac.kr>
Repository: CRAN
Date/Publication: 2026-06-03 13:40:08 UTC
Built: R 4.5.2; ; 2026-06-03 17:33:37 UTC; unix
