JumpDiffSim 0.1.0
Initial CRAN Submission
- Merton (1976) jump-diffusion model via unified S4 interface
- Exact compound-Poisson simulation via
simulateMerton()
- Maximum likelihood estimation via
fitMerton()
- Hessian-based standard errors and Wald confidence intervals
- European option pricing via
priceEuropean()
- Diagnostic plots via
diagnosticPlots()
- Theoretical moments via
jumpMoments()
- 21 unit tests, 85.57% code coverage
- Full offline operation — no market data dependencies