hello everyone ,
i have written some code in R for jump diffusion model.
the code generates answer as
" NaN
There were 50 or more warnings (use warnings() to see the first 50)"
my code is
mu<-0.2
sig<-0.2
S0<-100
j<-0.2
dt<-1/252
int<-0.1
i<-0
while(i<=1)
{
is.nan
k<-rnorm(1,0,1)
theta<-ifelse((k<(int*dt)),1,0)
m<-rnorm(1)
gam<-qnorm(m,0,1)
S0<-abs(S0*((1+mu*dt+sig*sqrt(dt)+ gam)- j*theta))
if(!is.nan (S0 <= 0))
warning("S0 must be positive")
cat("NaN","\n")
cat(S0,"\n")
i<-i+(1/252)
}
the problem i am facing is i am not able to find out the reason for this NaN
output.
please help
thanks in advance.
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