sde_dkou: Simulate a displaced Kou jump diffusion
In shill1729/sdes: Stochastic differential equation solver
Description
Usage
Arguments
Value
Description
Simulate a displaced Kou jump diffusion sample path using
a numerical stochastic integrator.
Usage
1
sde_dkou(x0, tt, param, n = 1000)
Arguments
x0
initial value
tt
time horizon
param
vector of mean drift, volatility,
mean rate of jumps, probability of jump up, mean jump up size, and mean jump down size, and displacements
n
number of time sub-intervals
Value
data.frame numeric
shill1729/sdes documentation built on Aug. 30, 2021, 6:36 p.m.
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Description Usage Arguments Value
Description
Simulate a displaced Kou jump diffusion sample path using a numerical stochastic integrator.
Usage
1 | sde_dkou(x0, tt, param, n = 1000)
|
Arguments
x0 |
initial value |
tt |
time horizon |
param |
vector of mean drift, volatility, mean rate of jumps, probability of jump up, mean jump up size, and mean jump down size, and displacements |
n |
number of time sub-intervals |
Value
data.frame numeric
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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