2.6.30. sdepy.heston_log_pdf

class sdepy.heston_log_pdf(t, logx, *, x0=1., mu=0., sigma=1., y0=1., theta=1., k=1., xi=1., rho=0.)[source]

Probability distribution function of values at time t of the logarithm of a Heston process, (as per the full_heston_process class) with time-independent parameters, evaluated at logx.

See also

full_heston_process

Notes

Estimate by numerical integration, using scipy.integrate.quad, of the closed-form characteristic function heston_log_chf. Integration errors are not reported/checked. Either t or logx must be a scalar.

Attributes:
params

Methods

__call__