Refine by Content Type

Refine by Product

Refine by Time Frame

image thumbnail

updated 1 year ago

Merton Jump Diffusion Option Price (Matrixwise) by Mark Whirdy

Mark Whirdy

Calculates Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface (merton, options, finance)

calcMJDOptionPrice(cp,S,K,T,sigma,r,q,lambda,a,b,n)

Contact us