Bates Model

Build status

Features

• Numpy
• SciPy in Python

Sections

1. Bates_1996_Table_1_reproduction

Souece Code: Bates_1996_Table_1_reproduction

Table 1 of Bates (1996), first entries in each row only
European prices

Set	K=38	K=39	K=40	K=41	K=42
0	0.3744	0.6617	1.074	1.6175	2.2832
1	0.575	0.902	1.3344	1.874	2.5147
2	0.3693	0.6485	1.0564	1.6015	2.2736
3	0.3688	0.658	1.0737	1.6207	2.289
4	0.3565	0.6194	1.0181	1.5665	2.2518

2. Bates_Call_Price_Using_FFT

Souece Code: Bates_Call_Price_Using_FFT

	Strike	Exact	FFT Trapz	FFT Simp	#Error Tr	#Error Sim
0	41.4102	9.5305	9.5306	9.5306	0.0007	0.0007
1	44.0956	7.3771	7.3769	7.3769	-0.0024	-0.0024
2	46.9551	5.3330	5.3331	5.3331	0.0019	0.0019
3	50.0000	3.5120	3.5119	3.5119	-0.0015	-0.0015
4	53.2424	2.0412	2.0411	2.0411	-0.0015	-0.0015
5	56.6950	1.0236	1.0237	1.0237	0.0099	0.0099
6	60.3716	0.4539	0.4538	0.4538	-0.0183	-0.0183

Item	Value
Integration increment	0.02441400000000000
Log strike increment	0.06283200000000000
Trapezoidal FFT mean absolute error	0.00519165869547100
Simpsons FFT mean absolute error	0.00519165829025704

3. Bates_model_DJIA_parameter_estimation

Souece Code: Bates_model_DJIA_parameter_estimation

4. Bates_Effect_of_jump_parameters_on_RND

Souece Code: Bates_Effect_of_jump_parameters_on_RND

5. Bates_Call_Price_Using_Simulation

Souece Code: Bates_Call_Price_Using_Simulation

Euler and Milstein Discretization

Bates price by Euler or Milstein Simulation simulation

Method Price	Price	DollarError
Closed Form	4.7049	n/a
Simulation	4.6957	0.0091

How to use?

1. from module import BatesModelFunction as bmf
2. call function, for example: dmf.BatesCF