Vanilla Call Option Price in the Jump-Diffusion Model

Posted by Chun-Yuan Chiu

Input:

Show parameters of the jump-diffusion model (annulized)

Risk free interest rate
sigma
lambda
alpha
beta

The settings of the derivative

Initial underlying asset price
Strike price
Time to maturity Years
Output:
Call value

Analytical solution for the price of a vanilla call option in the jump-diffusion model.

Tagged: FFT, Vanilla Option, Merton Model, Jump-Diffusion Model

 •  Nov 24, 2013  • 

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