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Bates Model/Ushahidi
Rekodi ya ushahidi wa mbinu

Bates Model

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.

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Bates Stochastic Volatility Jump Diffusion Model
Rekodi ya mbinu ya kiajenda · regression-model / quantitative-finance
  • 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 10.1093/rfs/9.1.69
  • Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3(1-2), 125-144. · DOI 10.1016/0304-405X(76)90022-2
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Same method familyHull-White Modelmachine-suggested · Relational suggestion, not evidence.Same method familyLocal Volatility (Dupire)machine-suggested · Relational suggestion, not evidence.Same method familyRisk-Neutral Valuationmachine-suggested · Relational suggestion, not evidence.Same method familySABR Modelmachine-suggested · Relational suggestion, not evidence.

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