quantmetrics.price_calculators.ljd_pricing.ljd_characteristic_function.LJDCharacteristicFunction

class quantmetrics.price_calculators.ljd_pricing.ljd_characteristic_function.LJDCharacteristicFunction(model: LevyModel, option: Option)[source]

Implements the characteristic function for 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`(u)	Calculate the characteristic function for the LJD model.