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)=7.26e306)
Example:
S = 100; K = (20:5:180)'; T = (0.1:0.1:5)';
sigma = 0.2; r = 0.0075; q = 0; lambda = 0.01; a = -0.2; b = 0.6; n = 50;
P = ia_calcMJDOptionPrice(cp,S,K,T,sigma,r,q,lambda,a,b,n);
[mK,mT] = meshgrid(K,T); [sigma,C] = calcBSImpVol(cp,P,S,mK,mT,r,q);
subplot(2,1,1); mesh(mK,mT,P); subplot(2,1,2); mesh(mK,mT,sigma);
References:
Merton, 1976, Option Pricing When Underlying Stock Returns are Discontinuous
http://www.people.hbs.edu/rmerton/optionpricingwhenunderlingstock.pdf
Zitieren als
Mark Whirdy (2024). Merton Jump Diffusion Option Price (Matrixwise) (https://www.mathworks.com/matlabcentral/fileexchange/41939-merton-jump-diffusion-option-price-matrixwise), MATLAB Central File Exchange. Abgerufen .
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Inspiriert von: calcBSImpVol(cp,P,S,K,T,r,q)
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Version | Veröffentlicht | Versionshinweise | |
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1.1.0.0 | Fixed small bug in the example given which omitted defining the variable "cp", and called "ia_calcMJDOptionPrice" instead of "calcMJDOptionPrice" |
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1.0.0.0 |