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