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POST
/
quantlib
/
models
/
merton
/
fft
Merton Model FFT Pricing
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/models/merton/fft \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "S": 100,
  "K": 100,
  "T": 0.5,
  "r": 0.05,
  "sigma": 0.25,
  "lambda_jump": 2,
  "mu_jump": -0.08,
  "sigma_jump": 0.12,
  "q": 0
}
'
{
  "success": true,
  "data": {
    "strikes": [
      85,
      90,
      95,
      100,
      105,
      110,
      115
    ],
    "call_prices": [
      16.23,
      12.45,
      9.12,
      6.42,
      4.35,
      2.87,
      1.84
    ],
    "put_prices": [
      0.87,
      1.98,
      3.64,
      5.87,
      8.72,
      12.15,
      16.08
    ]
  }
}

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

Reference strike price (FFT computes prices for a range around this)

​
T
number
required

Time to maturity in years

​
r
number
required

Risk-free rate

​
sigma
number
required

Diffusion volatility

​
lambda_jump
number
required

Jump intensity

​
mu_jump
number
required

Mean log-jump size

​
sigma_jump
number
required

Jump size volatility

​
q
number
default:0

Dividend yield

Response

Successfully computed FFT option prices

​
success
boolean
Example:

true

​
data
object
Example:
{
  "strikes": [85, 90, 95, 100, 105, 110, 115],
  "call_prices": [16.23, 12.45, 9.12, 6.42, 4.35, 2.87, 1.84],
  "put_prices": [0.87, 1.98, 3.64, 5.87, 8.72, 12.15, 16.08]
}