2.6.33. sdepy.mjd_log_chf¶

class sdepy.mjd_log_chf(t, u, *, x0=1., mu=0., sigma=1., lam=1., a=0.0, b=1.)[source]¶

Characteristic function of the probability distribution of values at time t of the logarithm of a Merton jump-diffusion process (as per the merton_jumpdiff_process class), with time-independent parameters, evaluated at u.

See also