I have a question regarding the simulation of a GBM. I have found similar questions here but nothing which takes reference to my specific problem: Given a GBM of the form $dS(t) = \mu S(t) dt + ...
I am talking about the Merton Jump Diffusion model, on this page, where they give the following formula: $$ dS_t = \mu S_t dt + \sigma S_t dW_t + (\eta-1) dq$$ where $W_t$ is a standard brownian ...
I want to simulate stock price paths with different stochastic processes. I started with the famous geometric brownian motion. I simulated the values with the following formula: ...
One of the stylized facts of financial time series seems to be a fundamental asymmetry between smooth upward movements over longer periods of time followed by abrupt declines over relatively shorter ...