Inquiry Regarding SVCJ Model Implementation in Repository #3
Description
Dear Dr. Kirkby,
Thank you very much for sharing your repository!
I noticed in the README that support is provided for "Stochastic Volatility with Jumps (e.g., Bates, HKDE)." However, I was unable to locate the relevant code files within the repository. I wanted to check if there might be an issue with my approach.
Specifically, I am interested in pricing European call options using the SVCJ (Stochastic Volatility with Correlated Jumps) model. Could you please confirm whether this functionality is indeed supported? If so, could you kindly direct me to the appropriate code files or sections within the repository?
Thank you very much for your time and assistance.
Best regards,
Yanfeng Wu