| Input: |
Show parameters of the jump-diffusion model (annulized)
Show inputs of the FFT pricing method
The settings of the derivative
The price of an Asian call option in the jump-diffusion model, a model proposed by Merton (1976). The calculation is based on FFT pricing. 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, Asian Option, Merton Model, Jump-Diffusion Model
• Jun 12, 2013 •
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