I am working with a model similar to the Heston model, and would like to add jumps. I would like to have the jump rate which depend on the ordinary volatility as rate1(u,p,t) = λ0 .+ λ1.*exp(u[2]/2.0) I understand that this should be specified as a variable rate jump. However, I can’t seem to get…

[image] mcreel: , how can one see the realization of jumps is a simulation, their timing and size? If you look for non-unique time points you can see the jump at those spots.

Specify jumps in a Heston-like model?

Specific Domains Finance and Economics

ChrisRackauckas July 4, 2020, 7:20am 9

If you look for non-unique time points you can see the jump at those spots.

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Specify jumps in a Heston-like model?

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