Merton76 Model
Calculate vanilla European option prices and sensitivities
using Merton76 model
The Merton76 model combines a continuous diffusion process, as in the Black-Scholes model, with a jump process. This allows the asset price to experience sudden jumps, capturing the real-world phenomena of market shocks or news events. Price and analyze vanilla option instruments using a Merton76 model with the following functions:
Functions
optByMertonFFT | Option price by Merton76 model using FFT and FRFT |
optSensByMertonFFT | Option price and sensitivities by Merton76 model using FFT and FRFT |
optByMertonNI | Option price by Merton76 model using numerical integration |
optSensByMertonNI | Option price and sensitivities by Merton76 model using numerical integration |
optByMertonFD | Option price by Merton76 model using finite differences |
optSensByMertonFD | Option price and sensitivities by Merton76 model using finite differences |
Topics
- Agency Option-Adjusted Spreads
Option-adjusted spread (OAS) is the standard measure for valuing bonds with embedded options.
