About: Stochastic volatility jump

An Entity of Type: Thing, from Named Graph: http://dbpedia.org, within Data Space: dbpedia.org

In mathematical finance, the stochastic volatility jump (SVJ) model is suggested by Bates. This model fits the observed implied volatility surface well. The model is a Heston process for stochastic volatility with an added Merton log-normal jump.It assumes the following correlated processes: where S is the price of security, μ is the constant drift (i.e. expected return), t represents time, Z1 is a standard Brownian motion, q is a Poisson counter with density λ.

Property Value
dbo:abstract
  • In mathematical finance, the stochastic volatility jump (SVJ) model is suggested by Bates. This model fits the observed implied volatility surface well. The model is a Heston process for stochastic volatility with an added Merton log-normal jump.It assumes the following correlated processes: where S is the price of security, μ is the constant drift (i.e. expected return), t represents time, Z1 is a standard Brownian motion, q is a Poisson counter with density λ. (en)
dbo:wikiPageID
  • 30123945 (xsd:integer)
dbo:wikiPageLength
  • 1260 (xsd:nonNegativeInteger)
dbo:wikiPageRevisionID
  • 1080749730 (xsd:integer)
dbo:wikiPageWikiLink
dbp:wikiPageUsesTemplate
dcterms:subject
rdfs:comment
  • In mathematical finance, the stochastic volatility jump (SVJ) model is suggested by Bates. This model fits the observed implied volatility surface well. The model is a Heston process for stochastic volatility with an added Merton log-normal jump.It assumes the following correlated processes: where S is the price of security, μ is the constant drift (i.e. expected return), t represents time, Z1 is a standard Brownian motion, q is a Poisson counter with density λ. (en)
rdfs:label
  • Stochastic volatility jump (en)
owl:sameAs
prov:wasDerivedFrom
foaf:isPrimaryTopicOf
is dbo:wikiPageDisambiguates of
is dbo:wikiPageRedirects of
is dbo:wikiPageWikiLink of
is foaf:primaryTopic of
Powered by OpenLink Virtuoso    This material is Open Knowledge     W3C Semantic Web Technology     This material is Open Knowledge    Valid XHTML + RDFa
This content was extracted from Wikipedia and is licensed under the Creative Commons Attribution-ShareAlike 3.0 Unported License