g******8
发帖数: 542 | 1 affine jump diffusion model 是heston model上加入compounded poisson jump on
log price and also on volatility. 我看的几篇research paper, 比如“# B.
Eraker. (2003).# Do Stock Prices and Volatility Jump? Reconciling Evidence
from Spot and Option Prices.”，里面就说转换成risk neutral meausre的affine
jump diffusion model的结果is standard in the literature.可是我没找到起源，不
知道是怎么转换的。这里有大牛指点一下么？谢谢！ | w**********y
发帖数: 1691 | 2 In my memory, logic is the sample as stochastic volatility. Both the risk
premium from stochastic volatility and risk premium from jump need to be
estimated under R-N measure. And actually they should be derived from some
vanilla product, and then used for exotic product.
I am quite not sure about the above statement. I believe you can find it in
Jim Gatheral's "The Volatility Surface: A Practitioner's Guide (Wiley
Finance)". | g******8
发帖数: 542 | 3 Thank you very much! I will check out the book you recommended. Thanks! The
articles I browsed (coz I did not fully understand) was somehow they
specify a state price density (pricing kernel) and also use something like
Ito's lemma, Radon-Nikodym derivative (change of measure) etc. but I could
not fully understand how they did it.
in
【在 w**********y 的大作中提到】
: In my memory, logic is the sample as stochastic volatility. Both the risk
: premium from stochastic volatility and risk premium from jump need to be
: estimated under R-N measure. And actually they should be derived from some
: vanilla product, and then used for exotic product.
: I am quite not sure about the above statement. I believe you can find it in
: Jim Gatheral's "The Volatility Surface: A Practitioner's Guide (Wiley
: Finance)".
| l*******y
发帖数: 4006 | 4 As far as I recall, the jump process can not be replicated, so, there prob
no real "risk neutral measure". |
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