nag_specfun_opt_jumpdiff_merton_greeks (s30jbc) 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
                     Vanna    Charm    Speed   Colour    Zomma    Vomma
                   -0.6334   0.1080  -0.0006  -0.0035   0.0315  70.6824
                   -0.7726   0.0770  -0.0009   0.0109  -0.0186  49.7161