Introduction to QuantLib. Part 5: The analytical method to price an option with jump
In the last tutorial, I have shown you how to construct all the objects that are required to price a plain vanilla option in QuantLib. You may find that the structure looks bulky, but you will understand the benefit of the structure after we go through this tutorial, which is about how to modify a few components in this structure and then we can easily come up with the option price with the jump diffusion.
The powerpoint in the video: https://drive.google.com/file/d/0B0wk...
Please also support the free calculator app that I wrote in the last Christmas holiday (2020). https://apps.apple.com/us/app/sfx-cal...
Currently the calculator app doesn't have any financial calculation function yet, but I'll consider to implement some financial calculation functions in the future using QuantLib.