I have to plot the next jump diffusion model using Mathematica or a similar tool:
namely, a Geometric Brownian motion with compound Poisson jumps.
I can use any program for it.
Note:
I have found the next similar code but it does not work when I execute it using Mathematica 9.0, it errors out with
""The specification TransformedProcess[0.955\ t+j[t]+0.7\ w[t],{w\ [Distributed]WienerProcess[1,0.7],j[Distributed]\ CompoundPoissonProcess[1.3,NormalDistribution[0.92,0.425]]},t] is not \ a random process recognized by the system. ""
Any help will be very useful :)