nag_jumpdiff_merton_greeks (s30jbc) Example Program Results
Merton Jump-Diffusion Model
European Call :
Spot = 100.0000
Volatility = 0.2500
Rate = 0.0800
Jumps = 5.0000
Jump vol = 0.2500
Time to Expiry : 0.5000
Strike Price Delta Gamma Vega Theta Rho
80.0000 23.6090 0.9431 0.0064 8.1206 -7.6718 35.3480
90.0000 15.4193 0.8203 0.0149 18.5256 -9.9695 33.3037
Vanna Charm Speed Colour Zomma Vomma
-0.6334 0.1080 -0.0006 -0.0035 0.0315 70.6824
-0.7726 0.0770 -0.0009 0.0109 -0.0186 49.7161