Show parameters of the jump-diffusion model (annulized)
Show inputs of the FFT pricing method
The settings of the derivative
The price of a Bermudan put option in the jump-diffusion model, a model proposed by Merton (1976). The calculation is based on the FFT method. The algorithm is a sequence of operations on grid functions. We take uniform grid in the interval [-c, c]. For now the number of grid points can only be a power of 2.
Tagged: FFT, Bermudan Option, Merton Model, Jump-Diffusion Model
• Jul 7, 2013 •
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