Simulation of jump diffusion process

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Description

Simulation of jump diffusion process Y_t = y_0 \exp( φ t - γ^2/2 t+γ W_t + \log(1+θ) N_t).

Usage

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## S4 method for signature 'Merton'
simulate(object, nsim = 1, seed = NULL, t, y0,
  start = c(0, 0), plot.series = TRUE)

Arguments

object

class object of parameters: "Merton"

nsim

number of trajectories to simulate. Default is 1.

seed

optional: seed number for random number generator

t

vector of time points

y0

starting point of process

start

vector: start[1] starting point time, start[2] starting point for Poisson process

plot.series

logical(1), if TRUE, simulated series are depicted grafically

Examples

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model <- set.to.class("Merton", parameter = list(thetaT = 0.1, phi = 0.05, gamma2 = 0.1, xi = 10))
t <- seq(0, 1, by = 0.01)
data <- simulate(model, t = t, y0 = 0.5)

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