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#stochastic_volatility_jump

Stochastic volatility jump

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:

Sun 3rd

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Stochastic volatility jump Stochastic volatility SABR volatility model SVJ Mathematical finance Stochastic differential equation Outline of finance Autoregressive model Continuous-time stochastic process Itô's lemma
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