# [−][src]Crate cf_functions

Provides several common characteristic functions for option pricing. All of the characteristic functions are with respect to "ui" instead of "u".

## Functions

alpha_stable_leverage | Returns log CF of an alpha stable process when transformed by an affine process and the process is correlated with the jump component of the Levy process. |

cgmy_diffusion_vol | Returns volatility of CGMY |

cgmy_log_cf | Returns log of CGMY characteristic function |

cgmy_log_risk_neutral_cf | Returns log of CGMY-diffusion characteristic function adjusted to be risk neutral |

cgmy_time_change_cf | Returns log of time changed CGMY characteristic function with correlation between the diffusion of the time changed process and the underlying. |

cgmy_time_change_log_cf | Returns log of time changed CGMY characteristic function with correlation between the diffusion of the time changed process and the underlying. |

cir_log_mgf | Returns log of moment generating function for Cox Ingersoll Ross process evaluated at complex argument. |

cir_log_mgf_cmp | Returns log of moment generating function for Cox Ingersoll Ross process evaluated at complex argument and with complex kappa. |

cir_mgf | Returns moment generating function for Cox Ingersoll Ross process evaluated at complex argument. |

cir_mgf_cmp | Returns moment generating function for Cox Ingersoll Ross process evaluated at complex argument and with complex kappa. |

gamma_cf | Returns characteristic function of a gamma distribution. |

gamma_leverage | Returns log CF of an gamma jump diffusion when transformed by an affine process and the process is correlated with the jump component of the Levy process. |

gauss_cf | Returns Gaussian characteristic function |

gauss_log_cf | Returns log of Gaussian characteristic function |

heston_cf | Returns Heston model log CF. |

heston_log_cf | Returns Heston model log CF. |

jump_diffusion_vol | Returns volatility of Merton jump diffusion |

merton_log_cf | Returns log of Poisson jump characteristic function with Gaussian jumps |

merton_log_risk_neutral_cf | Returns log of Merton jump diffusion characteristic function with Gaussian jumps, adjusted to be risk-neutral |

merton_time_change_cf | Returns cf function of a time changed Merton jump diffusion characteristic function with Gaussian jumps with correlation between the diffusion of the time changed process and the underlying, adjusted to be risk neutral. |

merton_time_change_log_cf | Returns log of time changed Merton jump diffusion characteristic function with Gaussian jumps with correlation between the diffusion of the time changed process and the underlying. |

stable_cf | Returns characteristic function of a stable distribution. |