/src/main/java/net/finmath/fouriermethod/models/MertonModel.java
return iargument.multiply( iargument.multiply( 0.5*volatility*volatility*logDiscountFactorForForward)
return iargument .multiply ( iargument .multiply ( 0.5*volatility*volatility*time )
public Complex apply(final Complex argument) { final Complex iargument = argument.multiply(Complex.I); final Complex exponent = (iargument.multiply(transformedMean)) .add(iargument.multiply(iargument.multiply(jumpSizeStdDev*jumpSizeStdDev/2.0))); final Complex jumpTransform = ((exponent.exp()).subtract(1.0)).multiply(jumpIntensity*time); final double jumpTransformCompensator = jumpIntensity*time*(Math.exp(transformedMean+jumpSizeStdDev*jumpSizeStdDev/2.0)-1.0); <extra_id_0> .add(Math.log(initialValue)-0.5*volatility*volatility*time-logDiscountFactorForForward)) .add(logDiscountFactorForDiscounting).add(jumpTransform.subtract(jumpTransformCompensator)) .exp(); } }; }