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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Stochastic volatility jump ： ウィキペディア英語版 Stochastic volatility jump In mathematical finance, the stochastic volatility jump (SVJ) model is suggested by Bates.〔(David S. Bates, "Jumps and Stochastic volatility: Exchange Rate Processes Implicity in Deutsche Mark Opitions", ''The Review of Financial Studies,'' volume 9, number 1, 1996, pages 69–107. )〕 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: : $dS=\backslash mu\; S\backslash ,dt+\backslash sqrt\; S\backslash ,dZ\_1+(e^\; -1)S\; \backslash ,\; dq$ : $d\backslash nu\; =-\backslash lambda\; (\backslash nu\; -\; \backslash overline)\; \backslash ,\; dt+\backslash eta\; \backslash sqrt\; \backslash ,\; dZ\_2$ : $\backslash operatorname(dZ\_1,\; dZ\_2)\; =\backslash rho$ (''S'' = what?, ''μ'' = what?, ''t'' = what? (time?), ''Z''1 = what? etc. ) 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Stochastic volatility jump」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.