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POST
Merton Jump-Diffusion Option Pricing

Authorizations

X-API-Key
string
header
required

API key for authentication. Get your key at https://api.fincept.in/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: