optimalMertonPath: Euler-Maruyama scheme for Kelly portfolio under Merton's jump...
In shill1729/kellyfractions: Optimize log returns
optimalMertonPath R Documentation
Euler-Maruyama scheme for Kelly portfolio under Merton's jump diffusion
Description
Simulate a sample path of \log X_t of the Kelly-portfolio
under Merton's jump diffusion dynamics, via the Euler-Maruyama scheme
Usage
optimalMertonPath(t, param, rate = 0, n = 1000)
Arguments
t
maturity to simulate under
param
vector of parameters defining the jump-diffusion dynamics. See details
rate
the risk-free rate, or money-market account interest rate
n
number of time-subintervals to use in the Euler-Maruyama scheme
Value
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shill1729/kellyfractions documentation built on July 16, 2025, 6:21 p.m.
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| optimalMertonPath | R Documentation |
Euler-Maruyama scheme for Kelly portfolio under Merton's jump diffusion
Description
Simulate a sample path of \log X_t of the Kelly-portfolio
under Merton's jump diffusion dynamics, via the Euler-Maruyama scheme
Usage
optimalMertonPath(t, param, rate = 0, n = 1000)
Arguments
t |
maturity to simulate under |
param |
vector of parameters defining the jump-diffusion dynamics. See details |
rate |
the risk-free rate, or money-market account interest rate |
n |
number of time-subintervals to use in the Euler-Maruyama scheme |
Value
list
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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