Main Content

Merton76 Model

Calculate vanilla European option prices and sensitivities using Merton76 model

Price and analyze vanilla option instruments using a Merton76 model.

Functions

optByMertonFFTOption price by Merton76 model using FFT and FRFT
optSensByMertonFFTOption price and sensitivities by Merton76 model using FFT and FRFT
optByMertonNIOption price by Merton76 model using numerical integration
optSensByMertonNIOption price and sensitivities by Merton76 model using numerical integration
optByMertonFDOption price by Merton76 model using finite differences
optSensByMertonFDOption price and sensitivities by Merton76 model using finite differences

Topics