השוואת שיטות

	מודל Bates	תמחור נטול סיכון
תחום	מימון כמותי	מימון כמותי
משפחה	Regression model	Regression model
שנת המקור	1996	1979
הוגה השיטה	David S. Bates	John Harrison and David Kreps
סוג	Equity/FX Model	Fundamental Principle
מקור מכונן	Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107.	Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408.
כינויים	SVJ Model, Jump Diffusion	Risk-Neutral Measure, Q-Measure
קשורות	4	4
תקציר	The Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency option markets. It extends the Heston model by adding a Poisson jump component to returns, making it suitable for pricing options when sudden price moves are expected.	Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing.