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May 29th, 2019, 12:28 PM   #1
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Solution of the process in Bates Model

Hi all,

I have to do a Monte Carlo Simulation for Stoch prices by using the Bates Model.
In the Black Scholes Model I can calculate St=S0*exp((r-sigma^2/2)t+sigmaWt).
My problem is that I do not know how to calculate St in Bates Model.

Could anyone please help me?

Last edited by Marco92; May 29th, 2019 at 12:33 PM.
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