quantmetrics.price_calculators.gbm_pricing.gbm_characteristic_function.GBMCharacteristicFunction

class quantmetrics.price_calculators.gbm_pricing.gbm_characteristic_function.GBMCharacteristicFunction(model: LevyModel, option: Option)[source]

Implements the characteristic function for a Geometric Brownian Motion (GBM) 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`(u)	Calculate the characteristic function for the GBM model.