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How to use Matlab to simulate the pure jump process
How to use Matlab to simulate the pure jump processI want know how to use Matlab or other soft to simulate the pure jump process. So, could anyone recommend some relevant books, articles or code for me? Thanks a lot.Bu2008.04.24
How to use Matlab to simulate the pure jump process
I suggest sampling the jump times (from an exponential)Kyriakos
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- dobranszky
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How to use Matlab to simulate the pure jump process
In case of Poisson, you use one uniform random number and the inverse Poisson CDF (poissinv) to simulate the total number of jumps until the maturity, then you use so many uniform random numbers as many jumps you have in total in order to simulate the jump arrival times that are uniformly distributed between today and the maturity.