Simulation of Mean-Reverting Prices with Jumps

Year Type:

Time Step ($\Delta t$):

Time Horizon,in years

Initial Price,$\$$

Volatility ($\sigma$),%

Long-Run Mean ($\overline{P}$)

Risk-Adjusted Discount Rate ($\rho$),%

Interest Rate ($r$),%

$H$ (half-life of $x(t)$),years

Frequency ($\lambda_u$) of up-jumps

Size of up-jumps

Implied Reversion Speed ($\eta$),(per annum)