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View Code? Open in Web Editor NEWAn R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies
License: GNU General Public License v3.0
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Mixed-Exponential Jump Diffusion
Why you use a uniform random variable multiplying a normal random variable as Mixed-Exponential Jump Diffusion?
J[j] <- J[j] + runif(1,min=0,max=1) * rnorm(1, mean = 0, sd = 1)
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