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Mixed-Exponential Jump Diffusion #1
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Thank you for pointing out the issue. |
No, I don't think this is a problem. I just don't understand why using a uniform distribution here. It seems like the uniform distribution just shrinks the amplitude of the jump. As you said, rnorm() has already provided a random generator. So, why we need a uniform variable to adjust it? Is there any paper mentions this method? |
I mainly refer "Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)". |
Ok, understand. Thank you very much. I really appreciate your work. Maybe you can mention a little more detail about $Yi$ in the mixed-exponential jump-diffusion model in your vignette. |
I will better my repository and vignette. |
Why you use a uniform random variable multiplying a normal random variable as Mixed-Exponential Jump Diffusion?
J[j] <- J[j] + runif(1,min=0,max=1) * rnorm(1, mean = 0, sd = 1)
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