2.6.36. sdepy.kou_log_chf¶

class sdepy.kou_log_chf(t, u, *, x0=1., mu=0., sigma=1., lam=1., a=0.5, b=0.5, pa=0.5)[source]¶

Characteristic function of the probability distribution of values at time t of the logarithm of a Kou jump-diffusion process, (as per the kou_jumpdiff_process class) with time-independent parameters, evaluated at u.

See also