Module cf_functions::gauss

Functions

gauss_cf

Returns Gaussian characteristic function

gauss_log_cf

Returns log of Gaussian characteristic function

gauss_log_cf_cmp

Returns log of Gaussian characteristic function with complex mu

heston_cf

Returns Heston model log CF. Heston is simply a time changed gaussian model.

heston_log_cf

Returns Heston model log CF. Heston is simply a time changed gaussian model.