merton_mle: Estimate parameters for Merton jump-diffusion model via MLE

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

Description

Estimate parameters for Merton's jump-diffusion model given a set of variates, using MLE and R's basic optim function.

Usage

merton_mle(
  log_returns,
  thresh_hold = 0.02,
  tn = 1,
  time_step = 1/252,
  compensate = FALSE,
  direction = "both"
)

Arguments

log_returns	log returns of data
thresh_hold	threshhold for jump size
tn	the length in years of period the data was observed in
time_step	time step of data, for real stock data use 1/252, for simulations use tn/n.
compensate	whether to treat the mean as compensated by the jump-drift or not
direction	"down", "up" or "both" for direction of jumps to estimate

Value

list

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