2.6.35. sdepy.kou_log_pdf

class sdepy.kou_log_pdf(t, logx, *, x0=1., mu=0., sigma=1., lam=1., pa=0.5, a=0.5, b=0.5)

Probability distribution function of values at time t of the logarithm of a double-exponential (Kou) jump-diffusion process (as per the kou_jumpdiff_process class), with time-independent parameters, evaluated at logx.

See also

jumpdiff_process

kou_jumpdiff_process

kou_log_chf

Notes

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

Attributes:

params

Methods

__call__