Hey
i have simulated a Lévy process that includes jumps and a drift, whereas the jumps are approximated using a Compound Poisson process. Now say i draw a second process following different parameters, in general i would say that these processes are uncorrelated. Now i take path 1 as given. Then i want to create a correlated path 2 that is a linear combination of the first and the second process. Is there an exact procedure how i can perform this?
Thanks
i have simulated a Lévy process that includes jumps and a drift, whereas the jumps are approximated using a Compound Poisson process. Now say i draw a second process following different parameters, in general i would say that these processes are uncorrelated. Now i take path 1 as given. Then i want to create a correlated path 2 that is a linear combination of the first and the second process. Is there an exact procedure how i can perform this?
Thanks
