قارن الطرق
راجع الطرق التي اخترتها جنبًا إلى جنب؛ الصفوف المختلفة مميَّزة.
| التقلب المحلي (Dupire)× | تسعير كرنك-نيكلسون× | |
|---|---|---|
| المجال | التمويل الكمي | التمويل الكمي |
| العائلة≠ | Regression model | Machine learning |
| سنة النشأة≠ | 1994 | 1947 |
| صاحب الطريقة≠ | Bruno Dupire | John Crank and Phyllis Nicolson |
| النوع≠ | Equity/FX Model | PDE Solver |
| المصدر التأسيسي≠ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ | 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 ↗ |
| الأسماء البديلة | Deterministic Volatility Function, DVF | CN Method, Implicit Finite Difference |
| ذات صلة≠ | 4 | 3 |
| الملخص≠ | 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. | 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. |
| ScholarGateمجموعة البيانات ↗ |
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