Bates Cont Tankov

15.2 A stochastic volatility model with jumps: the Bates model. As noted ... sufficient variability and asymmetry in short-term returns to match implied ... (15.12). Together with the terminal condition f(x, u, T) = eux this equation allows ... |2+i(ln(1+R)-8°}u – 1)}. N ... The other parameters are the same for both graphs: So =1, r = 0 ...
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