Standard Article

Bates Model

  1. David S. Bates1,2

Published Online: 15 MAY 2010

DOI: 10.1002/9780470061602.eqf08016

Encyclopedia of Quantitative Finance

Encyclopedia of Quantitative Finance

How to Cite

Bates, D. S. 2010. Bates Model. Encyclopedia of Quantitative Finance. .

Author Information

  1. 1

    University of Iowa, Iowa City, IA, USA

  2. 2

    National Bureau of Economic Research, Cambridge, MA, USA

Publication History

  1. Published Online: 15 MAY 2010

Abstract

This article reviews the Bates and Scott option pricing models, which capture both stochastic volatility and jump risk within a tractable affine specification.

Keywords:

  • options;
  • affine models;
  • Fourier inversion;
  • jumps;
  • stochastic volatility;
  • Bates model;
  • Scott model