rmerton: Simulate the terminal RV of a log-Merton jump diffusion
In shill1729/findistr: Common distributions used in finance
View source: R/merton-family.R
rmerton R Documentation
Simulate the terminal RV of a log-Merton jump diffusion
Description
Simulates the terminal value of a log jump diffusion
under Merton dynamics. This should not be used to simulate sample paths over time,
but only the terminal log variate.
Usage
rmerton(n, t, param)
Arguments
n
number of variates to simulate
t
the terminal time-horizon
param
the parameter set defining the jump diffusion dynamics
Value
numeric or vector
shill1729/findistr documentation built on May 20, 2024, 9:43 a.m.
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View source: R/merton-family.R
| rmerton | R Documentation |
Simulate the terminal RV of a log-Merton jump diffusion
Description
Simulates the terminal value of a log jump diffusion under Merton dynamics. This should not be used to simulate sample paths over time, but only the terminal log variate.
Usage
rmerton(n, t, param)
Arguments
n |
number of variates to simulate |
t |
the terminal time-horizon |
param |
the parameter set defining the jump diffusion dynamics |
Value
numeric or vector
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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