2.5.11. sdepy.kou_jumpdiff_process

class sdepy.kou_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=0.5, b=0.5, pa=0.5)

Double exponential (Kou) jump-diffusion process (jump-diffusion process with double exponential jump size distribution).

Same as jumpdiff_process, where the y parameter is specialized to double_exp_rv(a, b, pa), a double exponential variate with scale a(t) with probability pa(t), and -b(t) with probability (1 - pa(t)).

See also

jumpdiff_process

double_exp_rv

Attributes:

See SDE class documentation.

Methods

See SDE class documentation.