[−][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. |