Log-Uniform Jump-Diffusion Model

European call option price and implied volatility for a Log-Uniform Jump-Diffusion model.

JDprice.m : Compute European call option price using a Log-Uniform Jump-Diffusion model.
Algorithm used: Monte Carlo with antithetic and control variates techniques.

JDimpv : Compute the implied volatilities from the market values of European calls using a Log-Uniform Jump-Diffusion model. (the input "value" may be a matrix)

BS.m: Compute European call option price using the Black-Scholes model (used in JDprice)

Acknowledgements:

Thanks to Zongwu Zhu and Floyd B. Hanson for their paper
"A Monte-Carlo Option-Pricing Algorithm for Log-Uniform".