“Stochastic volatility jump”的意思、由来-开放百科全书

词条

Stochastic volatility jump

释义

Model
References

In mathematical finance, the stochastic volatility jump (SVJ) model is suggested by Bates.^[1] This model fits the observed implied volatility surface well. The model is a Heston process with an added Merton log-normal jump.

Model

The model assumes the following correlated processes:

[where S = Price of Security, μ = constant drift (i.e. expected return), t = time, Z₁ = Standard Brownian Motion etc.]

References

1. ^David S. Bates, "Jumps and Stochastic volatility: Exchange Rate Processes Implicity in Deutsche Mark Options", The Review of Financial Studies, volume 9, number 1, 1996, pages 69–107.

1 : Mathematical finance

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