mjd_ts: Jump Diffusion Model

In AnthonyTedde/StockPriceSimulator: Stock Price Simulator

Description

Stock price model with jumps.

Usage

mjd_ts(initial_stock_price = 50, time_to_maturity = 5, seed = 1,
  scale = 365, sigma = 0.2, alpha = 0, lambda = 7,
  jumps_intensity_parameters = list(mean = 0, sd = 0.2))

Value

A data.frame containing 2 variables: stock_price_path and the according time_periods.

Author(s)

Anthony Tedde

AnthonyTedde/StockPriceSimulator documentation built on May 17, 2019, 5:39 p.m.