Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Модель Бейтса× | Оценка в условиях нейтральности к риску× | |
|---|---|---|
| Область | Количественные финансы | Количественные финансы |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1996 | 1979 |
| Автор метода≠ | David S. Bates | John Harrison and David Kreps |
| Тип≠ | Equity/FX Model | Fundamental Principle |
| Основополагающий источник≠ | Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107. DOI ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Другие названия | SVJ Model, Jump Diffusion | Risk-Neutral Measure, Q-Measure |
| Связанные | 4 | 4 |
| Сводка≠ | 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. |
| ScholarGateНабор данных ↗ |
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