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.)[source]¶ Merton jump-diffusion process (jump-diffusion process with normal jump size distribution).
Same as
jumpdiff_process
, where they
parameter is specialized tonorm_rv(a, b)
, a normal variate with meana(t)
and standard deviationb(t)
.See also
Attributes: - See SDE class documentation.
Methods
See SDE class documentation.