sde_unijumps: Simulate a uniform jump diffusion
In shill1729/sdes: Stochastic differential equation solver
Description
Usage
Arguments
Value
Description
Simulate a displaced uniform jump diffusion sample path using
a numerical stochastic integrator.
Usage
1
sde_unijumps(x0, tt, param, n = 1000)
Arguments
x0
initial value
tt
time horizon
param
vector of (mu, volat, lambda, a, b)
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 uniform jump diffusion sample path using a numerical stochastic integrator.
Usage
1 | sde_unijumps(x0, tt, param, n = 1000)
|
Arguments
x0 |
initial value |
tt |
time horizon |
param |
vector of |
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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