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
Tolga Uzuner tolga at coubros.com writes:
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
On Sun, Nov 05, 2006 at 11:13:28AM +, Tolga Uzuner wrote:
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
