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JumpDiffModel: Virtual Base Class for Jump-Diffusion Models

Source: R/merton_model.R
JumpDiffModel-class.Rd

Abstract base class. Do not instantiate directly. Concrete subclasses: MertonModel.

Slots

mu

Numeric. Drift parameter (annualised).

sigma

Positive numeric. Diffusion volatility.

lambda

Non-negative numeric. Jump intensity (jumps per year).