Displaying 1 result from an estimated 1 matches for "jumpdiff".
2006 Nov 05
2
Generating a double-exponential jump diffusion process
Dear R Users,
Does anyone know of a package which can generate random realisations of
a double-exponential jump diffusion process with a drift ? Something
where I can specify the likelihoods of an up or a down jump, the drift
rate, and the mean size, and get back a vector of realisation of the
process (for purposes of a Monte-Carlo).
Kind regards,
Tolga