sde_levy: Simulate a sample path of an exponential Ito-Levy process...

In shill1729/sdes: Stochastic differential equation solver

Description

Simulate a sample path of an exponential Ito-Levy process with the Euler-Maruyama scheme

Usage

sde_levy(spot, tt, drift, diffusion, lambda, jumps, n = 1000, M = 20000)

Arguments

spot	the initial price of the share-price process.
tt	the terminal time to simulate until
drift	the infinitesimal drift coefficient function of (t, x)
diffusion	the infinitesimal volatility coefficient function of (t, x)
lambda	the mean jump-rate function of (t, x)
jumps	a list of objects defining the jump-size distribution
n	number of sub-intervals in time-grid
M	number of samples to use in Monte-Carlo estimate of eta for the jump-diffusion drift correction.

Details

while jumps should contain

• distr the name of the distribution of the jump-sizes: "norm", "unif", "kou"

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

Value

data.frame

shill1729/sdes documentation built on Aug. 30, 2021, 6:36 p.m.