Module cf_functions::cgmy

Functions

cgmy_diffusion_vol

Returns volatility of CGMY

cgmy_expectation

cgmy_expectation_lower_side

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.

cgmyse_time_change_cf

/// Returns time changed (self-exciting) CGMY characteristic function with correlation between the pure-jump time changed process and the underlying.