quantmetrics.price_calculators.cjd_pricing.cjd_closed_form.CJDClosedForm
- class quantmetrics.price_calculators.cjd_pricing.cjd_closed_form.CJDClosedForm(model: LevyModel, option: Option)[source]
Implements the closed-form solution for pricing European options under a constant jump-diffusion (CJD) model.
Parameters
- modelLevyModel
A LevyModel object specifying the underlying asset’s model and its parameters.
- optionOption
An Option object specifying the option parameters: interest rate, strike price, time to maturity, dividend yield and the equivalent martingale measure.
Methods
__init__
(model, option)calculate
()Calculate the European option price using the constant jump-diffusion exact equation.