NAG Library Manual, Mark 28.5
Interfaces:  FL   CL   CPP   AD 

NAG CL Interface Introduction
Example description

nag_specfun_opt_jumpdiff_merton_price (s30jac) Example Program Results
Merton Jump-Diffusion Model

European Call :

  Spot       =  45.0000
  Volatility =   0.2500
  Rate       =   0.1000
  Jumps      =   3.0000
  Jump vol   =   0.4000

   Strike    Expiry    Option Price
  55.0000    0.2500      0.2417