Merton76 Model

Calculate vanilla European option prices and sensitivities using Merton76 model

Price and analyze vanilla option instruments using a Merton76 model.

Functions

`optByMertonFFT`	Option price by Merton76 model using FFT and FRFT
`optSensByMertonFFT`	Option price and sensitivities by Merton76 model using FFT and FRFT
`optByMertonNI`	Option price by Merton76 model using numerical integration
`optSensByMertonNI`	Option price and sensitivities by Merton76 model using numerical integration
`optByMertonFD`	Option price by Merton76 model using finite differences
`optSensByMertonFD`	Option 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.