<< QuantLib`
<< Graphics`

i = EuropeanOption[40, 0.5, CallOption];

?SVJDModel

Bates (1996, p. 86)

m = 
      SVJDModel[40, 0.08, 0.06, 0.155, 0.343, 0.155, 0.78, 0.078, 
        15.01, -0.001, 0.019]

ListPlot[MonteCarloPath[m, 0.5, 1000], PlotJoined -> True, 
      PlotRange -> All]

expquote = 
        Table[MonteCarloPath[m, 0.5, 
              1000][[-1]], {50000}];

logexpquote = Log[#/40] & /@ expquote;

hgr = 
      Histogram[logexpquote, HistogramScale -> 1, 
        BarStyle -> {GrayLevel[0.9]}]

sshgr = 
      Plot[QuantLib`Options`PDF[i, m, z], {z, -0.6, 0.6}, 
        PlotRange -> All]

gr = Show[sshgr, hgr, sshgr]

Export["c:\\cand\\SVJD-sim-rho-mma.eps", gr]

antithetics

expquote2 = 
        Flatten[Table[
            paths = MonteCarloPath[m, 0.5, 1000, 
                AntitheticPaths -> True]; {paths[[1, -1]], 
              paths[[2, -1]]}, {50000}], 1];

logexpquote = Log[#/40] & /@ expquote2;

hgr = 
      Histogram[logexpquote, HistogramScale -> 1, 
        BarStyle -> {GrayLevel[0.9]}]

sshgr = 
      Plot[QuantLib`Options`PDF[i, m, z], {z, -0.6, 0.6}, 
        PlotRange -> All]

gr = Show[sshgr, hgr, sshgr]

100 tidstrin

gr = Show[sshgr, hgr, sshgr]

10000 tidstrin

expquote = 
        Table[MonteCarloPath[m, 0.5, 
              10000][[-1]], {10000}];

logexpquote = Log[#/40] & /@ expquote;

hgr = 
      Histogram[logexpquote, HistogramScale -> 1, 
        BarStyle -> {GrayLevel[0.9]}]

sshgr = 
      Plot[QuantLib`Options`PDF[i, m, z], {z, -0.6, 0.6}, 
        PlotRange -> All]

gr = Show[sshgr, hgr, sshgr]

10000 tidstrin, rho= -0.6

m = 
      SVJDModel[40, 0.08, 0.06, 0.15, 0.15, 0.15, 4, -0.6, 0, 0, 
        0]

expquote = 
        Table[MonteCarloPath[m, 0.5, 
              10000][[-1]], {10000}];

logexpquote = Log[#/40] & /@ expquote;

hgr = 
      Histogram[logexpquote, HistogramScale -> 1, 
        BarStyle -> {GrayLevel[0.9]}]

sshgr = 
      Plot[QuantLib`Options`PDF[i, m, z], {z, -0.6, 0.6}, 
        PlotRange -> All]

gr = Show[sshgr, hgr, sshgr]

100 tidstrin, rho= -0.6

m = 
      SVJDModel[40, 0.08, 0.06, 0.15, 0.15, 0.15, 4, -0.6, 0, 0, 
        0]

expquote = 
        Table[MonteCarloPath[m, 0.5, 
              100][[-1]], {10000}];

logexpquote = Log[#/40] & /@ expquote;

hgr = 
      Histogram[logexpquote, HistogramScale -> 1, 
        BarStyle -> {GrayLevel[0.9]}]

sshgr = 
      Plot[QuantLib`Options`PDF[i, m, z], {z, -0.6, 0.6}, 
        PlotRange -> All]

gr = Show[sshgr, hgr, sshgr]