Simulate SVJD model (with Feller condition check)

Simulate SVJD model (with Feller condition check)

rsvjd(
  n = 10L,
  horizon = 5L,
  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,
  start_ = NULL
)

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.

start_

Starting time (optional), better used with numeric frequency

Value

A time series object (ts).