[R-SIG-Finance] Geometric Brownian Motion with Jumps MLE
johnpaul.taylor at ryerson.ca
Fri Apr 3 14:30:33 CEST 2009
I have been using maxLik to do some MLE of Geometric Brownian Motion Process and everything has been going fine, but know I have tried to do it with jumps. I have create a vector of jumps and then added this into my log-likelihood equation, know I am getting a message:
NA in the initial gradient
My codes is hear
logLikVal<- - n*lamda - .5*n*log(2*pi) + sum(log(sum(for(j in 1:10)(cat((lamda^j/factorial(j))*(1/((sigma^2+j*gama^2)^.5)*exp( - (combinedlr-mu-j*nu)^2/2*(sigma^2+j*gama^2))))))))
rescbj<- maxLik(gbmploglik, grad = NULL, hess = NULL, start=c(0,1,1,1,1), method = "Newton-Raphson")
I am also was wondering if anyone know if there was a package that dealt with Geometric Brownian Motion Process augmented with jumps. Then I could just put that into my code and might resolve the issue.
Any suggest as to how to resolved this issue, are greatly apprecaited.
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