Module cf_functions::cgmy

Functions

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.