Discrete Time Option Pricer for Jump Diffusion Processes

Finds value of a European option using lattice methodology under a Merton Jump Diffusion process.

To calculate the price the pricer builds a multinomial tree, as described in Amin 1993.

For description of the methodology please see;

1. The HTML instructuions in the zip
2. Kaushik I. Amin, “Jump Diffusion Option Valuation in Discrete Time,” Journal of Finance 48, no. 5 (December 1993): 1833-1863.