[R-SIG-Finance] How to code Geometric Brownian Motion Process with Jumps

[Thomas Steiner]

Hi John-Paul,
on http://commons.wikimedia.org/wiki/Image:Gamma-OU.png you find a
Ornstein-Uhlenbeck process which is driven by a Levy process (Gamma
process). It should be easy to adapt the code for GBM.
This is a very simplistic approach (Euler approximation), for a
special process there should be more sophisticated (faster, more
accurate) methods.
Let me know if you need help.
Thomas