Show parameters of the jump-diffusion model (annulized)
Show inputs of the numerical method
The settings of the derivative
Pricing vanilla call options under Merton's jump-diffusion model with Monte Carlo method. In order to reduce the variance of the pricing result, we use as a control variate the vanilla call option under the Black-Scholes model.
Tagged: Monte Carlo, Vanilla Option, Merton Model, Jump-Diffusion Model, Levy Model, Control Variate
• Feb 16, 2014 •
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