2.6.32. sdepy.mjd_log_pdf

class sdepy.mjd_log_pdf(t, logx, *, x0=1., mu=0., sigma=1., lam=1., a=0.0, b=1.)

Probability distribution function 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 logx.

See also

jumpdiff_process

merton_jumpdiff_process

mjd_log_chf

Notes

Estimate by numerical integration, using scipy.integrate.quad, of the closed-form characteristic function mjd_log_chf. Integration errors are not reported/checked. Either t or logx must be a scalar.

Attributes:

params

Methods

__call__