Library: | finance |
See also: | MertonPut BatesCall BatesPut HestonCall HestonPut BlackScholes |
Quantlet: | MertonCall | |
Description: | calculates European call option prices in Merton model using FFT. |
Usage: | y = MertonCall(S,K,T,r,lambda,sigma,delta,mu) | |
Input: | ||
S | scalar or array, asset price | |
K | scalar or array, exercise price | |
T | scalar or array, time to maturity | |
r | scalar or array, interest rate | |
lambda | scalar or array, expected number of jumps in time unit | |
sigma | scalar or array, standard deviation of jump | |
delta | scalar or array, standard deviation of jump | |
mu | scalar or array, expected value of jump | |
Output: | ||
y | scalar or array, call option price |
library("finance") S=100 K=50|100|150 T=1 r=0.02 lambda= 12 sigma =0.1 delta = 0.01 mu = 0.1 y=MertonCall(S,K,T,r,lambda,sigma,delta,mu) K~y
[1,] 50 51.132 [2,] 100 15.558 [3,] 150 3.8765