Merton Jump Diffusion Option Price (Matrixwise) by 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)

Merton Structural Credit Model (Matrixwise Solver) by Mark Whirdy

Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery (credit, structural model, structural credit mod...)

calcMertonModel(E_t,sig_E,K,t,T,r)

Monte Carlo Simulation and Derivatives Pricing by Kienitz Wetterau FinModelling

Monte Carlo Schemes for advanced models and pricing of derivatives (monte carlo, disretization, sample scheme)

ArithmeticAsian(S, K, C)

BestOfCall(S1,S2)

CallPut(S,K,C)

Discrete Time Option Pricer for Jump Diffusion Processes by Nils Delava

Finds value of a European option using lattice methodology under a Merton Jump Diffusion process. (call, european option, jumpdiffusion)

[answer]=JDEuropean(S0,X,r,T,sigma,D,lambda,v,mu,n,flag1)