Questions tagged [bates]

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

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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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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-...