2.5.10. sdepy.merton_jumpdiff_process

class sdepy.merton_jumpdiff_process(paths=1, vshape=(), dtype=None, steps=None, i0=0, info=None, getinfo=True, method='euler', x0=1., mu=0., sigma=1., dw=None, corr=None, rho=None, dj=None, dn=None, ptype=int, lam=1., a=0., b=1.)

Merton jump-diffusion process (jump-diffusion process with normal jump size distribution).

Same as jumpdiff_process, where the y parameter is specialized to norm_rv(a, b), a normal variate with mean a(t) and standard deviation b(t).

See also

jumpdiff_process

norm_rv

Attributes:

See SDE class documentation.

Methods

See SDE class documentation.