<< QuantLib`

i = EuropeanOption[100, 0.5, CallOption]

?SVJDModel

m = 
      SVJDModel[100, 0, 0, 0.1, 0.0001, 0.1, 2, 0, 0.5, 0, 0.1]

m[jumpint_] := ReplacePart[m, jumpint, 9]

Plot[Skewness[i, m[jumpint]], {jumpint, 0, 2}, 
      PlotRange -> All]

gr = 
      Plot[KurtosisExcess[i, m[jumpint]], {jumpint, 0, 4}, 
        PlotRange -> All]

Export["c:\\cand\\kurtjump-mma.eps", gr]

mjumpsize[jumpsize_] := ReplacePart[m, jumpsize, 10]

Plot[Skewness[i, mjumpsize[js]], {js, 0, 2}, 
      PlotRange -> All]

Plot[KurtosisExcess[i, mjumpsize[js]], {js, 0, 4}, 
      PlotRange -> All]

msigmav[sv_] := ReplacePart[m, sv, 10]

Plot[Skewness[i, msigmav[sv]], {sv, 0, 1}, 
      PlotRange -> All]

Plot[KurtosisExcess[i, msigmav[sv]], {sv, 0, 1}, 
      PlotRange -> All]

mcorr[c_] := ReplacePart[m, c, 8]

Plot[Skewness[i, mcorr[c]], {c, -0.3, 0.3}, 
      PlotRange -> All]

Plot[KurtosisExcess[i, mcorr[c]], {c, -0.3, 0.3}, 
      PlotRange -> All]