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Merton76 Model

Calculate vanilla European option prices and sensitivities using 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
optBySensMertonFDOption price and sensitivities by Merton76 model using finite differences

Topics

Agency Option-Adjusted Spreads

Option-adjusted spread (OAS) is the standard measure for valuing bonds with embedded options.