  In this article we consider affine generalizations of the Merton jump
diffusion model [Merton, J. Fin. Econ., 1976] and the respective pricing of
European options. On the one hand, the Brownian motion part in the Merton model
may be generalized to a log-Heston model, and on the other hand, the jump part
may be generalized to an affine process with possibly state dependent jumps.
While the characteristic function of the log-Heston component is known in
closed form, the characteristic function of the second component may be unknown
explicitly. For the latter component we propose an approximation procedure
based on the method introduced in [Belomestny et al., J. Func. Anal., 2009]. We
conclude with some numerical examples.
