Merton Jump Diffusion Model

This program aims to implement a simulation of Merton's jump-diffusion model at fixed-dates, as presented in Paul Glasserman's "Monte Carlo Methods in Financial Engineering" (2003, Chapter 3.5).The model accounts for both continuous diffusion and discrete jumps in asset prices.

Reference

Glasserman, Paul. "Monte Carlo Methods in Financial Engineering," 2003, Springer-Verlag, Chapter 3.5, "Processes with Jumps," pages 134-142.