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 ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
