Merton jump diffusion option price (matrixwise) in matlab

The following Matlab project contains the source code and Matlab examples used for merton jump diffusion option price (matrixwise). Calculates Option Prices by Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface Inputs: cp [1,-1] Call,Put S Current Price K Strike Vector T Time-to-Maturity Vector sigma Volatility of Diffusion r Risk-free-Rate q Div Yield lambda Poisson Rate a Jump Mean b Jump Std Deviation n Event Count (Limited to 170 since factorial(170)=7.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

Project Files: 

File NameSize
calcMJDOptionPrice.m 2029
license.txt 1311