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%%%
%%% Closed form option pricer for European option under Merton jump-diffusion
%%% model
%%% 
%%% Copyright (C) 2008  Vladimir Surkov
%%%
%%%
%%% This program is free software: you can redistribute it and/or modify
%%% it under the terms of the GNU General Public License as published by
%%% the Free Software Foundation, either version 3 of the License, or
%%% (at your option) any later version.
%%%
%%% This program is distributed in the hope that it will be useful,
%%% but WITHOUT ANY WARRANTY; without even the implied warranty of
%%% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
%%% GNU General Public License for more details.
%%% 
%%% You should have received a copy of the GNU General Public License
%%% along with this program.  If not, see <http://www.gnu.org/licenses/>.
%%%
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function [values_call, values_put, time] = ClosedForm_European_MertonJumpDiffusion(S, K, T, sigma, lambda, mu, nu, r, q)


values_call = zeros(length(S), length(K));
values_put = zeros(length(S), length(K));

time = cputime;
N = 50;
m = exp(mu+nu^2/2);

for n = N:-1:0
	const_n = exp(-lambda*m*T)*(lambda*m*T)^n/factorial(n);
    for iter_s = 1:length(S)
        for iter_k = 1:length(K)
            [value_call, value_put] = blsprice_nocheck(S(iter_s),K(iter_k),r-lambda*(m-1)+n*log(m)/T, T, sqrt(sigma*sigma+n*nu*nu/T), q);
            values_call(iter_s, iter_k) = values_call(iter_s, iter_k) + const_n*value_call;
            values_put(iter_s, iter_k) = values_put(iter_s, iter_k) + const_n*value_put;
        end
    end
end

time = cputime - time;