[R] help for code in jump diffusion

cruz cruadam at gmail.com
Sat Nov 22 09:04:02 CET 2008

```i tried to run your code, this is how/why you got NaN:

> mu<-0.2
> sig<-0.2
> S0<-100
> j<-0.2
> dt<-1/252
> int<-0.1
> i<-0
>  is.nan
function (x)  .Primitive("is.nan")
>  k<-rnorm(1,0,1)
>  k
[1] 0.3214954
>  theta<-ifelse((k<(int*dt)),1,0)
>  theta
[1] 0
>  m<-rnorm(1)
>  m
[1] -0.4525731
>  gam<-qnorm(m,0,1)
Warning message:
In qnorm(p, mean, sd, lower.tail, log.p) : NaNs produced
>  gam
[1] NaN
>  S0<-abs(S0*((1+mu*dt+sig*sqrt(dt)+ gam)- j*theta))
>  S0
[1] NaN
>  if(!is.nan (S0 <= 0))
+     warning("S0 must be positive")
Warning message:
S0 must be positive
>     cat("NaN","\n")
NaN
>  cat(S0,"\n")
NaN
>

On Sat, Nov 22, 2008 at 2:37 PM, subbudas <subratdas0407sssu at gmail.com> wrote:
>
> hello everyone ,
> i have written some code in R for jump diffusion model.
> the code generates answer as
> " NaN
> There were 50 or more warnings (use warnings() to see the first 50)"
> my code is
>
> mu<-0.2
> sig<-0.2
> S0<-100
> j<-0.2
> dt<-1/252
> int<-0.1
> i<-0
> while(i<=1)
> {
>  is.nan
>  k<-rnorm(1,0,1)
>  theta<-ifelse((k<(int*dt)),1,0)
>  m<-rnorm(1)
>  gam<-qnorm(m,0,1)
>  S0<-abs(S0*((1+mu*dt+sig*sqrt(dt)+ gam)- j*theta))
>  if(!is.nan (S0 <= 0))
>     warning("S0 must be positive")
>     cat("NaN","\n")
>  cat(S0,"\n")
>  i<-i+(1/252)
> }
>
> the problem i am facing is i am not able to find out the reason for this NaN
> output.