Bermudan Put Option Price in the Jump-Diffusion Model

Posted by Chun-Yuan Chiu


Show parameters of the jump-diffusion model (annulized)

Risk free interest rate

Show inputs of the FFT pricing method

Number of grid points
Window [-c, c], c =

The settings of the derivative

Initial underlying asset price
Strike price
Time to maturity Years
Number of partitions
Put value

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

 •  Jun 26, 2013  • 

Image Gallery

pix pix pix pix pix pix

Why this website?

This website, QuantCalc, offers varied financial math calculators, hedging methods and arbitrage strategies. The reason why we develop QuantCalc is that we hope our ability of pricing, hedging and arbitraging can be seen by World. Please contact us if you want to see some specific method or strategy to be implemented on QuantCalc.


Please contact us if you have any suggestion.

Copyright 2012 Szu-Yu Pai