Usage: |
y = BatesCall(S,K,T,r,lambda,delta,kquer,kappa,theta,sigma,rho,v0)
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Input: |
| S | array: asset price
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| K | array: exercise price
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| T | array: time to maturity
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| r | array: interest rate
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| lambda | array: expected number of jumps in time unit
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| delta | array: standard deviation of the jumps
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| kquer | array: part of the mean of the jumps
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| kappa | array: rate of mean-reversion
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| theta | array: average level of volatility
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| sigma | array: volatility of volatility
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| rho | array: corelation between two Wiener processes
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| v0 | array: initial volatility
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Output: |
| y | array: call option price |