exponentiatedOrnsteinUhlenbeck {BSS} | R Documentation |

## Simulate an exponentiated OU volatility process

### Description

`exponentiatedOrnsteinUhlenbeck`

simulates an exponentiated Ornstein-Uhlenbeckprocess of the correct length to
be used as the volatility process within the hybrid scheme.

### Usage

```
exponentiatedOrnsteinUhlenbeck(N, n, T, theta, beta)
```

### Arguments

`N` |
positive integer determining the number of terms in the Riemman sum element of the
hybrid scheme calculation. Should be of order at least |

`n` |
positive integer indicating the number of observations per unit of time. It represents the fineness or frequency of observations. |

`T` |
the time interval to simulate the BSS process over. |

`theta` |
positive number giving the mean reversion rate of the OU process. |

`beta` |
the factor in the exponential. |

### Value

The function returns a vector of length `N + n*T + 1`

### Examples

```
N <- 10000
n <- 100
T <- 1.0
theta <- 0.5
beta <- 0.125
vol <- exponentiatedOrnsteinUhlenbeck(N, n, T, theta, beta)
```

[Package

*BSS*version 0.1.0 Index]