Simulating a SVJJ Process
In the following application, we show tools from the Finance package for simulating stochastic volatility processes with jumps.
Stochastic volatility models are used to calculate and forecast pricing for options based on the assumption that the underlying security's volatility is arbitrary. SVJJ processes are stochastic volatility models that incorporate systematic fluctuations, or 'jumps'.
Plot State ProcessPlot Variance Process
MathApps/Finance and Economics
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