quantmetrics.price_calculators.ljd_pricing.ljd_paths_Q.LJDSimulatePathsQ

class quantmetrics.price_calculators.ljd_pricing.ljd_paths_Q.LJDSimulatePathsQ(model: LevyModel, option: Option)[source]

Implements the paths simulation for a lognormal jump-diffusion (LJD) model under the risk-neutral measure.

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)

simulate(num_timesteps, num_paths, seed)

Generate paths for the lognormal jump-diffusion model.