Module net.finmath.lib
Package net.finmath.timeseries.models.parametric

Class DisplacedLognormal

java.lang.Object
net.finmath.timeseries.models.parametric.DisplacedLognormal
All Implemented Interfaces:
HistoricalSimulationModel
public class DisplacedLognormal
extends Object
implements HistoricalSimulationModel
Displaced log-normal process with constanst volatility. This class estimate the process \[ \mathrm{d} \log(X + a) = \frac{\sigma}{b + a} \mathrm{d}W(t) \] where \( a > -min(X(t_{i}) \) and thus \( X+a > 0 \) and \( b = 1 - -min(X(t_{i}) \) \) and \( \sigma \) is a constant. The choice of b ensures that b+a ≥ 1. For a=0 we have a log-normal process with volatility σ/(b + a). For a=infinity we have a normal process with volatility σ.
Version:
1.0
Author:
Christian Fries