ajdmom.mdl_1fsv.euler

Module for generating a trajectory of samples from Heston SV model by Euler approximation

To facilitate the verification of the correctness of our codes by comparison the population moments (given by our package) and their sample counterparts. Here I define function r1FSV().

In addition, I created r1FSV_iid() for generating i.i.d. samples.

Functions

r1FSV(v0, par, N[, n_segment, h])	Generate a trajectory of samples from mdl_1fsv by Euler approximation.
r1FSV_iid(v0, par, N[, n_segment, tau])	Generate iid samples from mdl_1fsv by Euler approximation.