قارن الطرق
راجع الطرق التي اخترتها جنبًا إلى جنب؛ الصفوف المختلفة مميَّزة.
| تسعير كرنك-نيكلسون× | التقلب المحلي (Dupire)× | |
|---|---|---|
| المجال | التمويل الكمي | التمويل الكمي |
| العائلة≠ | Machine learning | Regression model |
| سنة النشأة≠ | 1947 | 1994 |
| صاحب الطريقة≠ | John Crank and Phyllis Nicolson | Bruno Dupire |
| النوع≠ | PDE Solver | Equity/FX Model |
| المصدر التأسيسي≠ | Crank, J., & Nicolson, P. (1947). A practical method for numerical evaluation of solutions of partial differential equations of the heat-conduction type. Mathematical Proceedings of the Cambridge Philosophical Society, 43(1), 50-67. DOI ↗ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ |
| الأسماء البديلة | CN Method, Implicit Finite Difference | Deterministic Volatility Function, DVF |
| ذات صلة≠ | 3 | 4 |
| الملخص≠ | The Crank-Nicolson method is a widely-used implicit finite difference scheme for solving PDEs in option pricing. It provides second-order accuracy in both space and time, unconditional stability, and can efficiently price derivatives with early exercise features (American options) or complex boundary conditions. | Dupire's local volatility model (1994) is a deterministic framework that extracts a term and strike-dependent volatility function from market option prices. Unlike constant volatility, local volatility perfectly fits the observed implied volatility smile and is implemented via finite difference methods for European and American option pricing. |
| ScholarGateمجموعة البيانات ↗ |
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