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.