Log-Uniform Jump-Diffusion Model: BS(S0,t,K,T,Rgrow,Rdisc,sigma) - File Exchange

Code covered by the BSD License

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Log-Uniform Jump-Diffusion Model

BS(S0,t,K,T,Rgrow,Rdisc,sigma...
JDimpv(S0, X, r, T, a, b, lam...
JDprice(S0, X, r, T, vol, a, ... JDprice Log-Uniform Jump-Diffusion price.
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from Log-Uniform Jump-Diffusion Model by Rodolphe Sitter
European call option price and implied volatility for a Log-Uniform Jump-Diffusion model.

BS(S0,t,K,T,Rgrow,Rdisc,sigma)

function Call = BS(S0,t,K,T,Rgrow,Rdisc,sigma)

F = S0.*exp(Rgrow.*T);
d1 = log(F./K)./(sigma.*sqrt(T-t)) + sigma.*sqrt(T)/2;
d2 = log(F./K)./(sigma.*sqrt(T-t)) - sigma.*sqrt(T)/2;
Call = exp(-Rdisc.*T).*(F.*normcdf(d1) - K.*normcdf(d2));

% Put=Call+K.*exp(-Rdisc.*T)-S0;

Highlights from Log-Uniform Jump-Diffusion Model

Highlights from
Log-Uniform Jump-Diffusion Model