Create a MertonModel Object

Create a MertonModel Object

Usage

MertonModel(mu = 0.05, sigma = 0.2, lambda = 1, mu_j = -0.1, sigma_j = 0.15)

Arguments

mu

Numeric. Drift (default 0.05).

sigma

Positive numeric. Diffusion volatility (default 0.20).

lambda

Non-negative numeric. Jump intensity (default 1).

mu_j

Numeric. Mean log-jump size (default -0.10).

sigma_j

Positive numeric. Std dev of log-jumps (default 0.15).

Value

A validated MertonModel object.

Examples

m <- MertonModel(mu = 0.05, sigma = 0.20, lambda = 1,
                 mu_j = -0.10, sigma_j = 0.15)
show(m)
#> Merton Jump-Diffusion Model
#> ---------------------------
#>   mu      : 0.0500
#>   sigma   : 0.2000
#>   lambda  : 1.0000
#>   mu_j    : -0.1000
#>   sigma_j : 0.1500
#>   Persist : 0.2500  [alpha+beta not applicable to raw model]