simulate,Merton-method {BaPreStoPro} | R Documentation |
Simulation of jump diffusion process Y_t = y_0 \exp( φ t - γ^2/2 t+γ W_t + \log(1+θ) N_t).
## S4 method for signature 'Merton' simulate(object, nsim = 1, seed = NULL, t, y0, start = c(0, 0), plot.series = TRUE)
object |
class object of parameters: "Merton" |
nsim |
number of trajectories to simulate. Default is 1. |
seed |
optional: seed number for random number generator |
t |
vector of time points |
y0 |
starting point of process |
start |
vector: start[1] starting point time, start[2] starting point for Poisson process |
plot.series |
logical(1), if TRUE, simulated series are depicted grafically |
model <- set.to.class("Merton", parameter = list(thetaT = 0.1, phi = 0.05, gamma2 = 0.1, xi = 10)) t <- seq(0, 1, by = 0.01) data <- simulate(model, t = t, y0 = 0.5)