sample_path_lvm: Simulate a sample path of an local volatility mixture GBM...

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

Description

Non-exported Wrapper to sample_path_em to directly simulate a sample path of local volatility mixture GBM without having to specify the constant coefficient functions. This function should not be called directly but rather through sample_path with continuous.model set to "lvm".

Usage

sample_path_lvm(t, IC, parameters, jumps = NULL, n = 10000)

Arguments

t	length of time to simulate over
IC	list of initial value of the local volatility mixture GBM, no default
parameters	a named list containing vectors probs, mus and sigmas describing the mixing components of the GMM.
jumps	a list of objects defining the jump-size distribution, can be NULL for purely continuous models, see details.
n	number of time sub-intervals in the discretization

Details

The drift of a GBM is in the form of μ-0.5σ^2 where σ is the volatility.

• distr the name of the distribution of the jump-sizes e.g. "norm", "unif", "kou"

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

Value

data.frame containing t (time) and X (state).

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