MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process

Rafał Weron ()

Statistical Software Components from Boston College Department of Economics

Abstract: MRJD_SIM returns a vector of NTRAJ realizations of the MRJD process: dX = (alpha - beta*X)*dt + sigma*dB + N(mu,gamma)*dN(lambda) over a time period 0,1,...,T. The Euler scheme is used.

Language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.2)
Keywords: Mean-Reverting Jump-Diffusion; Monte Carlo simulation; Trajectory (search for similar items in EconPapers)
Date: 2010-10-19
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