exponentiatedOrnsteinUhlenbeck {BSS}

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.

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)