Module cf_functions::merton [−][src]
Functions
Returns volatility of Merton jump diffusion
Returns log of Poisson jump characteristic function with Gaussian jumps
Returns log of Merton jump diffusion characteristic function with Gaussian jumps, adjusted to be risk-neutral
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.
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.