Public Function ExpLevy_process(ByVal S0 As Double, ByVal lambda As Double, ByVal N, ByVal start, ByVal fin, r As Double, ByVal sigma As Double, ByVal a As Double, ByVal G As Double)
'Simulate the exponential of a Levy process of the following form
'St=S*exp(at+gWt+CPt)
'Wt : Standard Brownian motion
'CPt : Compound Poisson process with N(r,sigma) underprocesses and parameter lambda

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

Levy = Levy_process(lambda, N, start, fin, r, sigma, a, G)

For i = 0 To N
    vec(i) = S0 * Exp(Levy(i))
Next i
ExpLevy_process = vec
End Function