Name of QuantLet: NIC_LevyJumpDiffusion

Published in: Numerical Introductory Course - Student Project on ''Simulation of the Lévy processes'' 

Description: Simulates a jump diffusion process with drift b and jump intensity lambda. The simulated

Keywords: Levy process, stochastic process, jump diffusion, gaussian, jump intensity, drift, simulation, density

See also: NIC_LevyPoisson, NIC_LevyStableProcess

Author: Roman Lykhnenko

Submitted: 12.05.2016

Datafile: 

Input: 

Example: Plot of data, gaussian component, jump component, log returns an density of log returns.