analytic_merton_theta: Merton's jump-diffusion model theta for European options

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

Description

Semi-analytic series formula for Theta greek under jump diffusion dynamics, i.e. the time until expiration sensitivity.

Usage

analytic_merton_theta(
  spot,
  strike,
  maturity,
  rate,
  div,
  volat,
  lambda,
  jm,
  jv,
  what = "call",
  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
num_terms	the number of terms to sum in the Poisson expectation

Value

Returns numeric

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