[R] Generating a double-exponential jump diffusion process

Tolga Uzuner tolga at coubros.com
Sun Nov 5 12:13:28 CET 2006


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



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