Modeli ya Bates
Modeli ya Bates (1996) inachanganya uhamaji wa hisia na mwelekeo wa kuruka ili kukamata tabasamu la uhamaji na upotoshaji wa uhamaji unaoonekana katika masoko ya chaguo za hisa na sarafu. Inapanua modeli ya Heston kwa kuongeza kipengele cha kuruka kwa njia ya Poisson kwenye mapato, na kuifanya ifae kwa kuweka bei chaguo wakati mabadiliko ya ghafla ya bei yanatarajiwa.
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Method map
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Vyanzo
- 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 ↗
Jinsi ya kunukuu ukurasa huu
ScholarGate. (2026, June 3). Bates Stochastic Volatility Jump Diffusion Model. ScholarGate. https://scholargate.app/sw/quantitative-finance/bates-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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