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Questions tagged [bates]

An efficient Model is developed for option pricing under stochastic volatility and jump diffusion processes.

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Bates Model on Quantlib

I am actively trying to price an option using bates model on Quantlib.However,when I input my volatility I find the same Black Prices with the basic Heston Model.I wanted to know if my code was right. ...
lays's user avatar
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Are rough stochastic volatility models used on the street for equity derivatives ? (2020)

I'm building out some stochastic vol models for pricing exotic equity derivatives. What's the state of the art on the street?
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Numerical simulation of Bates model (Monte Carlo)

I'm trying to build Bates model in Python! $$dS_{t} = \mu S_{t} dt + \sqrt{V_{t}}S_{t}dW_{t}^{1} + J_{t}dQ_{t}$$ $$dV_{t} = \kappa(\theta - V{t})dt + \eta \sqrt{V_{t}}dW_{t}^{2}$$ $$dW_{t}^{1}dW_{t}^{...
David's user avatar
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Bates Model Jump Percentage Parameters

I am trying to calculate the jump parameters for the Bates volatility jumps, specifically, the mean of the jump percentages, $\mu_j$. For the value of $J$, I am using jumps $|\frac{s_{i}-s_{i-1}}{s_{i-...
Kevin K.'s user avatar
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Could someone please share the Matlab code for the stochastic volatility jump diffusion option pricing model? (Bates model) [closed]

I have not been able to write a Matlab code for the Bates model without errors. Could someone share theirs please?
Mara's user avatar
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Why Jumps in Option Pricing models?

The Bates model adds a Jump process to the Underlying. I understand this may represent observed time series more realistically, but why would one care about this in option pricing? The option price ...
emcor's user avatar
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Vega in Heston / Bates Model

Just a question regarding "convention": Is the Vega in Heston / Bates model the sensitivity with regards to $\sqrt v_0$ or a term of $\sqrt v_0$ and $\theta$ (Long term variance)? Regards
Vanity's user avatar
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Validation of Bates SVJ model

I have just finished implementing the Bates model for pricing European call options. To check results, I have been looking for a validation set where I could see the Bates parameter values and ...
sets's user avatar
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