euler_maruyama: Simulate a sample path of a Ito-Levy process with the...

In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes

Description

Simulate a sample path of a Ito-Levy process with the Euler-Maruyama scheme

Usage

euler_maruyama(
  t,
  coeff,
  IC,
  jumps = NULL,
  exponential = TRUE,
  n = 1000,
  M = 20000
)

Arguments

t	the terminal time to simulate until
coeff	a list of named coefficient functions for the diffusion part and named function for mean-rate of jumps, see details
IC	a list of initial conditions
jumps	a list of objects defining the jump-size distribution, can be NULL for purely continuous models
exponential	boolean for exponential processes
n	number of sub-intervals in time-grid
M	number of samples to use in Monte-Carlo estimate of eta for the jump-diffusion drift correction.

Details

coefficients must contain

• f.mu the drift-coefficient function

• f.vo the volatility-coefficient function

• f.lambda the mean-rate function of the number of jumps

while jumps should contain

• distr the name of the distribution of the jump-sizes: "norm", "unif", "kou"

• param named list of parameters for the distribution matching the input in rdistr for a given "distr".

finally, IC should contain initial conditions x0 and spot

Value

data.frame

shill1729/FeynmanKacSolver documentation built on May 19, 2020, 8:23 p.m.