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

Thomas Steiner finbref.2006 at gmail.com
Mon Apr 6 09:19:12 CEST 2009

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.

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