Safe Haskell	None
Language	Haskell2010

Quant.Models.Merton

Synopsis

Documentation

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