I am trying to improve my understanding of jump processes. As a first step, I want to simulate sample paths for the process $$dX(t) = dw(t) + dJ(t)$$ where $dw(t)$ is a Brownian motion and $dJ(t)$ ...
I am wondering if anybody could point me to any literature that talks about a discrete time version of the jump-diffusion model, I am aware that there is a paper by Amin (1993) that shows a discrete ...
I have just finished implementing the Bates model for pricing European call options. To check results, I have been looking for a validation set where I could see the Bates parameter values and ...
I am trying to generate jump times in in Multilevel path simulation for jump-diffusion SDEs using the following MATLAB code: I used following Algorithm in Yuan Xia paper: But I have not reached ...