Log-Uniform Jump-Diffusion Model

European call option price and implied volatility for a Log-Uniform Jump-Diffusion model.


Updated 4 Jun 2009

View License

JDprice.m : Compute European call option price using a Log-Uniform Jump-Diffusion model.
Algorithm used: Monte Carlo with antithetic and control variates techniques.

JDimpv : Compute the implied volatilities from the market values of European calls using a Log-Uniform Jump-Diffusion model. (the input "value" may be a matrix)

BS.m: Compute European call option price using the Black-Scholes model (used in JDprice)


Thanks to Zongwu Zhu and Floyd B. Hanson for their paper
"A Monte-Carlo Option-Pricing Algorithm for Log-Uniform".

Cite As

Rodolphe Sitter (2023). Log-Uniform Jump-Diffusion Model (https://www.mathworks.com/matlabcentral/fileexchange/23197-log-uniform-jump-diffusion-model), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Find more on Automotive in Help Center and MATLAB Answers

Inspired by: Kernel Smoothing Regression

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes

bug fixed

fixed the bug