Right now I am not very sure, how to implement Merton's Jump Diffusion Model. This is my first try, working out, but after reading that, even "in the special case of complete ruin the option on a stock that has a positive propability is more valuable than an option on a stock that does not" (Merton p.321) I have the suspicion my price can't be right, because it is lower tha a Blackn Scholes Price.
I want to "n" to act randomly and to be independent from the past... and the SUM Formula to get to work for evolving a Price and finally my implied volatility. If anybody has a hint for me how to go further and implement it the right way, it would help me a lot for my homework /paper I need to do for university.
In the attachements you can find my intent of programming the merton model.
Thanks for your interest.