MertonModel: Merton (1976) Jump-Diffusion Model

Extends JumpDiffModel with log-normal jump parameters.

Usage

# S4 method for class 'MertonModel'
show(object)

Arguments

object

A MertonModel object.

Slots

mu_j

Numeric. Mean log-jump size.

sigma_j

Positive numeric. Std dev of log-jump sizes.

References

Merton, R.C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3(1-2), 125-144.