On Sun, Nov 05, 2006 at 11:13:28AM +0000, 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 > rate, and the mean size, and get back a vector of realisation of the > process (for purposes of a Monte-Carlo).
Tolga, I am not really an expert in this field, but AFAIK the likelihood of Ito/Levy processes does not have closed form solutions apart from a few well-known exceptions. People use simulation (Euler method and variants) to obtain simulated values and likelihoods. For the latter, a method called High Frequency Augmentation is used. Some references are Jones, C S (1998, 1999), Elerian (1998), Elerian, Chib and Shephard (1998), Eraker (1997), most of them are about diffusions, but I guess that they can be adapted to Levy processes too. HTH, Tamas ______________________________________________ [email protected] 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.
