merton.greeks

First- and second-order sensitivities for the Merton model.

All Greeks here are closed-form expressions derived from Black-Scholes-Merton. Numerical / autodiff Greeks (via JAX) live in merton.greeks.autodiff behind the [jax] extra.

Submodules

• merton.greeks.autodiff
• merton.greeks.equity
• merton.greeks.pd_sensitivity
• merton.greeks.spread_sensitivity