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- W2248395225 abstract "The model of Bates specifies a rich, flexible structure of stock dynamics suitable for applications in finance and economics, including valuation of derivative securities. This paper analytically derives a closed-form expression for the joint conditional characteristic function of a stock's log-price and squared volatility under the model dynamics. The use of the function, based on inverting it, is illustrated on examples of pricing European-, Bermudan-, and American-style options. The discussed approach for European-style derivatives improves on the option formula of Bates. The suggested approach for American-style derivatives, based on a compound-option technique, offers an alternative solution to existing finite-difference methods." @default.
- W2248395225 created "2016-06-24" @default.
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- W2248395225 date "2012-01-01" @default.
- W2248395225 modified "2023-09-26" @default.
- W2248395225 title "Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications" @default.
- W2248395225 hasPublicationYear "2012" @default.
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