## Merton Jump Diffusion Option Price (Matrixwise)

버전 1.1.0.0 (1.97 KB) 작성자:
Calculates Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface
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업데이트 날짜: 2013/5/28

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Calculates Option Prices by Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface

Inputs:
cp [1,-1] Call,Put
S Current Price
K Strike Vector
T Time-to-Maturity Vector
sigma Volatility of Diffusion
r Risk-free-Rate
q Div Yield
lambda Poisson Rate
a Jump Mean
b Jump Std Deviation
n Event Count (Limited to 170 since factorial(170)=7.26e306)

Example:
S = 100; K = (20:5:180)'; T = (0.1:0.1:5)';
sigma = 0.2; r = 0.0075; q = 0; lambda = 0.01; a = -0.2; b = 0.6; n = 50;
P = ia_calcMJDOptionPrice(cp,S,K,T,sigma,r,q,lambda,a,b,n);

[mK,mT] = meshgrid(K,T); [sigma,C] = calcBSImpVol(cp,P,S,mK,mT,r,q);
subplot(2,1,1); mesh(mK,mT,P); subplot(2,1,2); mesh(mK,mT,sigma);

References:
Merton, 1976, Option Pricing When Underlying Stock Returns are Discontinuous
http://www.people.hbs.edu/rmerton/optionpricingwhenunderlingstock.pdf

### 인용 양식

Mark Whirdy (2024). Merton Jump Diffusion Option Price (Matrixwise) (https://www.mathworks.com/matlabcentral/fileexchange/41939-merton-jump-diffusion-option-price-matrixwise), MATLAB Central File Exchange. 검색됨 .

개발 환경: R2012b
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버전 게시됨 릴리스 정보
1.1.0.0

Fixed small bug in the example given which omitted defining the variable "cp", and called "ia_calcMJDOptionPrice" instead of "calcMJDOptionPrice"

1.0.0.0