Module cf_functions::cgmy [−][src]
Functions
Returns volatility of CGMY
Returns log of CGMY characteristic function
Returns log of CGMY-diffusion characteristic function adjusted to be risk neutral
Returns log of time changed CGMY characteristic function with correlation between the diffusion of the time changed process and the underlying.
Returns log of time changed CGMY characteristic function with correlation between the diffusion of the time changed process and the underlying.
/// Returns time changed (self-exciting) CGMY characteristic function with correlation between the pure-jump time changed process and the underlying.