Hi,
I have simulated one possible path of a variance gamma process by the
following code:
vektor<-c(1:23)
S0=20
theta=0.01
v=5
sigma=0.1
vektor[1]<-S0
for (i in 2:23){
randomgamma<-rgamma(1, shape=1/v, scale = v)
randomnormal<-rnorm(1,mean=0,sd=1)
vektor[i]<-vektor[i-1]+theta*randomgamma+sigma*sqrt(randomgamma)*randomnormal
}
plot(c(1:23),vektor)
lines(c(1:23),vektor)
Now my problem is, that the plot does not look like a variance gamma
process, these should look like this:
http://en.wikipedia.org/wiki/File:Variance-Gamma-process.png
or this:
http://demonstrations.wolfram.com/TheVarianceGammaProcess/
So where is my mistake?
In general: Is what I am doing correct? I want to simulate a stock
path. The initial value of the stock is 20. Now, I want to simulate
different paths. What parameters should I use to get a realistic
result?
Thanks a lot for your helpt
(I am a student in finance)
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