quantmetrics.price_calculators.dejd_pricing.dejd_closed_form.DEJDClosedForm

class quantmetrics.price_calculators.dejd_pricing.dejd_closed_form.DEJDClosedForm(model: LevyModel, option: Option)[source]

Implements the closed-form solution for pricing European options under a lognormal jump-diffusion (LJD) 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.

__init__(model: LevyModel, option: Option)[source]

Methods

__init__(model, option)

calculate()

Calculate the European option price using the lognormal jump-diffusion exact equation.