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| Bejts model× | Vrednovanje neutralno na rizik× | |
|---|---|---|
| Oblast | Kvantitativne finansije | Kvantitativne finansije |
| Porodica | Regression model | Regression model |
| Godina nastanka≠ | 1996 | 1979 |
| Tvorac≠ | David S. Bates | John Harrison and David Kreps |
| Tip≠ | Equity/FX Model | Fundamental Principle |
| Temeljni izvor≠ | 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 ↗ |
| Drugi nazivi | SVJ Model, Jump Diffusion | Risk-Neutral Measure, Q-Measure |
| Srodne | 4 | 4 |
| Sažetak≠ | 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. |
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