Main Content

Simulate Bates sample paths with transition density

`[`

simulates `Paths`

,`Times`

] = simByTransition(`MDL`

,`NPeriods`

)`NTrials`

of Bates bivariate models driven by two
Brownian motion sources of risk and one compound Poisson process representing the
arrivals of important events over `NPeriods`

consecutive
observation periods. `simByTransition`

approximates continuous-time
stochastic processes by the transition density.

`[`

specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax.`Paths`

,`Times`

] = simByTransition(___,`Name,Value`

)

[1] Glasserman, Paul
*Monte Carlo Methods in Financial Engineering.* New York:
Springer-Verlag, 2004.

[2] Van Haastrecht, Alexander, and
Antoon Pelsser. "Efficient, Almost Exact Simulation of the Heston Stochastic Volatility
Model." *International Journal of Theoretical and Applied Finance.*
13, no. 01 (2010): 1–43.