Simulate SVJD model using esgtoolkit (with Feller condition check)

rsvjd(
  n = 10,
  horizon = 1,
  freq = "daily",
  S0 = 100,
  V0 = 0.04,
  r0 = 0.02,
  kappa = 5,
  theta = 0.04,
  volvol = 0.5,
  rho = -0.7,
  lambda = 0.1,
  mu_J = 0,
  sigma_J = 0.1
)

Arguments

n: Number of simulations.
horizon: Time steps (e.g., 252 for daily data).
freq: Frequency ("daily", "weekly", "monthly").
S0: Initial price (default=100).
V0: Initial volatility (default=0.04).
r0: Risk-free rate (default=0.02).
kappa: Mean reversion speed (must satisfy Feller: 2*kappa*theta >= volvol^2).
theta: Long-run mean volatility.
volvol: Volatility of volatility (must satisfy Feller).
rho: Leverage effect (correlation between shocks).
lambda: Jump intensity.
mu_J: Mean jump size.
sigma_J: Std dev of jump size.

Value

List of simulated `price` and `vol`.