Description Usage Details Value Author(s) References See Also
Function to simulate and plot Jump Diffusion path(s)
1 | JDPaths()
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The user inputs are as follows:
Drift (or mu)
Volatility(or sigma)
Mean of jumps
Std Dev of Jumps
Jump Intensity
Paths
Clicking on the '+' and '-' respectively increases and decreases the values of each of the above inputs.
A graph of Jump Diffusion path(s) showing the parameter values.
S Subramanian <ssubramanian@sssihl.edu.in>
John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.
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