Quant.Models.Merton

Documentation

data Merton

Merton represents a Merton model (Black-Scholes w/ jumps).

Constructors

forall a b . (YieldCurve a, YieldCurve b) => Merton

YieldCurve to generate discount rates

Fields

mertonInitial :: Double

Initial asset level

mertonVol :: Double

Asset volatility

mertonIntensity :: Double

Intensity of Poisson process

mertonJumpMean :: Double

Average size of jump

mertonJumpVol :: Double

Volatility of jumps

mertonForwardGen :: a

YieldCurve to generate forwards

mertonDiscounter :: b

Instances

Discretize Merton