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I have simulated one possible path of a variance gamma process by the following code:

vektor<-c(1:23)

S0=20
theta=0.01

v=5
sigma=0.1

vektor[1]<-S0

for (i in 2:23){
randomgamma<-rgamma(1, shape=1/v, scale = v)
randomnormal<-rnorm(1,mean=0,sd=1)
vektor[i]<-vektor[i-1]+theta*randomgamma+sigma*sqrt(randomgamma)*randomnormal
}

plot(c(1:23),vektor)
lines(c(1:23),vektor)

The idea is to be found on page 26 in the following paper: http://www.rhsmith.umd.edu/faculty/mfu/fu_files/Fu07.pdf

Now my problem is, that the plot does not look like a variance gamma process, these should look like this: http://en.wikipedia.org/wiki/File:Variance-Gamma-process.png

or this demonstration.

So where is my mistake?

In general: Is what I am doing correct? I want to simulate a stock path. The initial value of the stock is 20. Now, I want to simulate different paths. What parameters should I use to get a realistic result?

share|improve this question
    
first of all, there are 3 different methods on that page, which are you attempting? –  jerad Nov 25 '12 at 22:15
    
also, what's your plot look like? –  jerad Nov 25 '12 at 22:20
    
I noticed an edit to this post in reply to @jerad's comments (indicating the 1st method was considered). If you lost your account information, please flag your post for moderator attention and we will merge your accounts. –  chl Nov 26 '12 at 8:31
    
I am trying to do the same thing, did you manage to do it? –  user35149 Nov 21 '13 at 23:14
    
This is not an answer to the question; it's effectively a 'me too' comment. See, for example, here, where (toward the bottom) it says Do not post an answer simply to say "thanks" or "I'm having this problem, too". See also here. –  Glen_b Nov 22 '13 at 0:09
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