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
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:

Reference manual:	JumpDiffSim.html , JumpDiffSim.pdf
Vignettes:	Getting Started with JumpDiffSim (source, R code)

Downloads:

Package source:	JumpDiffSim_0.1.0.tar.gz
Windows binaries:	r-devel: JumpDiffSim_0.1.0.zip, r-release: JumpDiffSim_0.1.0.zip, r-oldrel: JumpDiffSim_0.1.0.zip
macOS binaries:	r-release (arm64): JumpDiffSim_0.1.0.tgz, r-oldrel (arm64): JumpDiffSim_0.1.0.tgz, r-release (x86_64): JumpDiffSim_0.1.0.tgz, r-oldrel (x86_64): JumpDiffSim_0.1.0.tgz

Linking:

Please use the canonical form https://CRAN.R-project.org/package=JumpDiffSim to link to this page.