Options
All
  • Public
  • Public/Protected
  • All
Menu

Square-root stochastic-volatility Bates process

This class describes the square root stochastic volatility process incl jumps governed by $$ \begin{array}{rcl} dS(t, S) &=& (r-d-\lambda m) S dt +\sqrt{v} S dW_1 + (e^J - 1) S dN \ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \ dW_1 dW_2 &=& \rho dt \ \omega(J) &=& \frac{1}{\sqrt{2\pi \delta^2}} \exp\left[-\frac{(J-\nu)^2}{2\delta^2}\right] \end{array} $$

Hierarchy

Implements

Index

Constructors

constructor

Properties

Private _cumNormalDist

Private _delta

_delta: Real

_discretization

_discretization: discretization

_discretization1

_discretization1: Discretization

_isDisposed

_isDisposed: boolean = false

Private _lambda

_lambda: Real

Private _m

_m: Real

Private _nu

_nu: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

apply1

covariance

  • returns the covariance $$ V(\mathrm{x}{t_0 + \Delta t} | \mathrm{x}{t_0} = \mathrm{x}_0) $$ of the process after a time interval $ \Delta t $ according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

    Parameters

    Returns Matrix

deepUpdate

  • deepUpdate(): void

delta

  • Returns Real

diffusion1

dividendYield

drift1

evolve1

expectation1

  • returns the expectation $$ E(\mathrm{x}{t_0 + \Delta t} | \mathrm{x}{t_0} = \mathrm{x}_0) $$ of the process after a time interval $ \Delta t $ according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

    Parameters

    Returns Real[]

factors

init

initialValues

  • initialValues(): Real[]

kappa

lambda

  • Returns Real

nu

  • Returns Real

pdf

  • probability densitiy function, semi-analytical solution of the Fokker-Planck equation in x=ln(s)

    Parameters

    Returns Real

rho

riskFreeRate

s0

sigma

size

stdDeviation1

  • returns the standard deviation $$ S(\mathrm{x}{t_0 + \Delta t} | \mathrm{x}{t_0} = \mathrm{x}_0) $$ of the process after a time interval $ \Delta t $ according to the given discretization. This method can be overridden in derived classes which want to hard-code a particular discretization.

    Parameters

    Returns Matrix

theta

time

  • time(d: Date): Time

update

  • update(): void

v0