M76Engine - 2023.2 English

#include "xf_fintech/m76_engine.hpp"

template <typename DT>
void M76Engine (
    struct jump_diffusion_params <DT>* p,
    DT* call_price
    )

Engine for the Merton Jump Diffusion Model.

Parameters:

p	A structure containing the jump diffusion parameters
call_price	An array of BS solutions multiplied by the jump weighting Note that these must be subsequently summed to get the Jump Diffusion solution