Merton-Jump-Diffusion-CPP

Merton Jump Diffusion Pricing Models in C++

Merton Jump Diffusion Pricing Model -

        1. Closed form pricing solution 
        
                  and 
                  
                      2.Simulation Pricing Method

Name		Name	Last commit message	Last commit date
Latest commit History 7 Commits
BS1.c		BS1.c
BS_HEADER.h		BS_HEADER.h
LICENSE		LICENSE
MJD_sim.cpp		MJD_sim.cpp
MJD_sim.h		MJD_sim.h
MJDclosed.cpp		MJDclosed.cpp
MJDclosed.h		MJDclosed.h
MJDiffusion.cpp		MJDiffusion.cpp
README.md		README.md

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