analytic_merton: Analytic option pricing and greeks under Merton's jump...

In shill1729/OptionPricer: An option pricer for European and American vanilla stock options

Description

Calls all analytic formulas for option pricing under Merton's log-normal jump-diffusion

Usage

analytic_merton(
  spot,
  strike,
  maturity,
  rate,
  div,
  volat,
  lambda,
  jm,
  jv,
  what = "call",
  output = "greeks",
  num_terms = 100
)

Arguments

spot	the spot price
strike	The strike price
maturity	the year until expirations
rate	the drift rate
div	The dividend yield rate
volat	the diffusion coefficients of each component (a vector)
lambda	the yearly jump-rate
jm	the jump mean
jv	the jump volatility
what	What type of option, put or call
output	either "greeks" or "price"
num_terms	the number of terms to sum in the Poisson expectation

Value

data frame

Examples

spot <- 100
maturity <- 30/252
strike <- 100
rate <- 0.05
div <- 0
volat <- 0.19
lambda <- 5
jm <- 0.01
jv <- 0.03
what <- "call"
print(analytic_merton(spot, strike, maturity, rate, div, volat, lambda, jm, jv, what))

shill1729/OptionPricer documentation built on June 11, 2020, 12:18 a.m.