Option price by Merton76 model using numerical integration
[1] Bates, D. S. “Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options.” The Review of Financial Studies. Vol 9. No. 1. 1996.
[2] Cont, R. and P. Tankov. Financial Modeling with Jump Processes. Chapman & Hall/CRC Press, 2004.
[3] Heston, S. L. “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.” The Review of Financial Studies. Vol 6. No. 2. 1993.
[4] Lewis, A. L. “A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes.” Envision Financial Systems and OptionCity.net, 2001.
[5] Merton, R. “Option Pricing When Underlying Stock Returns are Discontinuous.” Journal of Financial Economics. Vol 3. 1976.
optByBatesFFT
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