Theoretical Moments of the Merton Jump-Diffusion Log-Return — jumpMoments,MertonModel-method • JumpDiffSim

Returns the theoretical mean, variance, skewness, and excess kurtosis of the log-return distribution under the Merton (1976) model.

Usage

# S4 method for class 'MertonModel'
jumpMoments(object)

Arguments

object: A MertonModel object.

Value

Named numeric vector with elements mean, variance, skewness, kurtosis.

Examples

m <- MertonModel(mu = 0.05, sigma = 0.20, lambda = 1,
                 mu_j = -0.10, sigma_j = 0.15)
jumpMoments(m)
#>       mean   variance   skewness   kurtosis 
#>  0.0300000  0.0725000 -0.3970038  0.5648038