exponentiatedOrnsteinUhlenbeck {BSS} | R Documentation |
exponentiatedOrnsteinUhlenbeck
simulates an exponentiated Ornstein-Uhlenbeckprocess of the correct length to
be used as the volatility process within the hybrid scheme.
exponentiatedOrnsteinUhlenbeck(N, n, T, theta, beta)
N |
positive integer determining the number of terms in the Riemman sum element of the
hybrid scheme calculation. Should be of order at least |
n |
positive integer indicating the number of observations per unit of time. It represents the fineness or frequency of observations. |
T |
the time interval to simulate the BSS process over. |
theta |
positive number giving the mean reversion rate of the OU process. |
beta |
the factor in the exponential. |
The function returns a vector of length N + n*T + 1
N <- 10000
n <- 100
T <- 1.0
theta <- 0.5
beta <- 0.125
vol <- exponentiatedOrnsteinUhlenbeck(N, n, T, theta, beta)