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POST
/
quantlib
/
models
/
merton
/
price
Merton Jump-Diffusion Option Pricing
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/models/merton/price \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "S": 100,
  "K": 105,
  "T": 1,
  "r": 0.05,
  "sigma": 0.2,
  "lambda_jump": 1.5,
  "mu_jump": -0.05,
  "sigma_jump": 0.15,
  "q": 0.02
}
'
{
  "success": true,
  "data": {
    "merton_call_price": 6.42
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://finceptbackend.share.zrok.io/auth/register

Body

application/json
​
S
number
required

Current stock price

​
K
number
required

Strike price

​
T
number
required

Time to maturity in years

​
r
number
required

Risk-free rate (annualized)

​
sigma
number
required

Diffusion volatility (continuous part, annualized)

​
lambda_jump
number
required

Jump intensity (average number of jumps per year, e.g., 2 = 2 jumps/year)

​
mu_jump
number
required

Mean log-jump size (e.g., -0.1 for average 10% down jumps)

​
sigma_jump
number
required

Jump size volatility (standard deviation of log-jump)

​
q
number
default:0

Dividend yield (annualized)

Response

Successfully priced Merton jump-diffusion option

​
success
boolean
Example:

true

​
data
object
Example:
{ "merton_call_price": 6.42 }