Public Function Levy_process(ByVal lambda, ByVal N, ByVal start, ByVal fin, ByVal r, ByVal sigma, ByVal a, ByVal G)
'Simulate a Levy process of the following form
'Xt=at+gWt+CPt
'Wt : Standard Brownian motion
'CPt : Compound Poisson process with N(r,sigma) underprocesses and parameter lambda

Dim i As Long
Dim dt As Double
Dim vec() As Double
ReDim vec(0 To N)

CP = CompoundPoisson_process(lambda, N, start, fin, r, sigma)
w = Brownian_process(0, N, 0, 1)
dt = (fin - start) / N

For i = 0 To N
    vec(i) = a * dt + G * w(i) + CP(i)
Next i
Levy_process = vec
End Function