Crate cf_functions[−][src]
Provides several common characteristic functions for option pricing. All of the characteristic functions are with respect to "ui" instead of "u".
Functions
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 |
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. |
gauss_cf |
Returns Gaussian characteristic function |
gauss_log_cf |
Returns log of Gaussian characteristic function |
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. |