2.6.31. sdepy.heston_log_chf

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

Characteristic function of the probability distribution 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 u.

Attributes:
params

Methods

__call__