Simulate Merton Jump-Diffusion Asset Paths — simulateMerton • JumpDiffSim

Generates n exact compound-Poisson asset price paths under the Merton (1976) jump-diffusion model. Simulation is exact in the sense that jump arrivals are drawn directly from the Poisson process rather than approximated via Euler discretisation.

Usage

simulateMerton(object, n = 100, T_ = 1, steps = 252, S0 = 1, seed = NULL, ...)

Arguments

object: A MertonModel object.
n: Integer. Number of paths to simulate.
T_: Positive numeric. Time horizon in years (default 1).
steps: Positive integer. Number of time steps (default 252).
S0: Numeric. Initial asset price (default 1).
seed: Optional integer. Random seed for reproducibility.
...: Unused.

Value

A JDSimResult object.

Examples

m   <- MertonModel()
sim <- simulateMerton(m, n = 10, T_ = 1, steps = 252, seed = 42)
dim(sim@paths)   # should be 200 x 253
#> [1]  10 253