Questions tagged [bates]
An efficient Model is developed for option pricing under stochastic volatility and jump diffusion processes.
8
questions
4
votes
0
answers
374
views
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.
...
2
votes
0
answers
176
views
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?
2
votes
0
answers
183
views
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-...
1
vote
3
answers
698
views
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 ...
1
vote
1
answer
771
views
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
1
vote
1
answer
665
views
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 ...
1
vote
0
answers
614
views
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?
0
votes
1
answer
656
views
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}^{...