quantmetrics
Sections:
Usage Guide
Examples
API Overview
References
Modules:
Levy Models
Option pricing
Price Calculators
Modules
Classes
Geometric Brownian Motion (GBM)
Constant Jump Diffusion (CJD)
Lognormal Jump Diffusion (LJD)
Double Exponential Jump Diffusion (DEJD)
DEJDCalculator
DEJDClosedForm
DEJDCharacteristicFunction
DEJDSimulatePathsQ
Variance Gamma (VG)
quantmetrics
API Overview
Price Calculators
DEJDSimulatePathsQ
View page source
DEJDSimulatePathsQ
class
quantmetrics.price_calculators.dejd_pricing.dejd_paths_Q.
DEJDSimulatePathsQ
(
model
:
LevyModel
,
option
:
Option
)
[source]
Bases:
object
simulate
(
num_timesteps
:
int
,
num_paths
:
int
,
seed
:
int
)
→
ndarray
[source]
Returns
np.ndarray
The characteristic function values.