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.