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Log-Uniform Jump-Diffusion Model

version (6.96 KB) by Rodolphe Sitter
European call option price and implied volatility for a Log-Uniform Jump-Diffusion model.


Updated 04 Jun 2009

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JDprice.m : Compute European call option price using a Log-Uniform Jump-Diffusion model.
Algorithm used: Monte Carlo with antithetic and control variates techniques.

JDimpv : Compute the implied volatilities from the market values of European calls using a Log-Uniform Jump-Diffusion model. (the input "value" may be a matrix)

BS.m: Compute European call option price using the Black-Scholes model (used in JDprice)


Thanks to Zongwu Zhu and Floyd B. Hanson for their paper
"A Monte-Carlo Option-Pricing Algorithm for Log-Uniform".

Cite As

Rodolphe Sitter (2022). Log-Uniform Jump-Diffusion Model (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
Platform Compatibility
Windows macOS Linux

Inspired by: Kernel Smoothing Regression

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