Module cf_functions::merton

Functions

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.