S30JBF Example Program Results

 Merton Jump-Diffusion Model
 European Call :
  Spot       =  100.0000
  Volatility =    0.2500
  Rate       =    0.0800
  Jumps      =    5.0000
  Jump vol   =    0.2500


 Time to Expiry :    0.5000
   Strike    Price    Delta    Gamma     Vega    Theta      Rho
  80.0000  23.6090   0.9431   0.0064   8.1206  -7.6718  35.3480
  90.0000  15.4193   0.8203   0.0149  18.5256  -9.9695  33.3037
   Strike    Price    Vanna    Charm    Speed   Colour    Zomma    Vomma
  80.0000  23.6090  -0.6334   0.1080  -0.0006  -0.0035   0.0315  70.6824
  90.0000  15.4193  -0.7726   0.0770  -0.0009   0.0109  -0.0186  49.7161