قارن الطرق
راجع الطرق التي اخترتها جنبًا إلى جنب؛ الصفوف المختلفة مميَّزة.
| التقلب المحلي (Dupire)× | نموذج SABR× | |
|---|---|---|
| المجال | التمويل الكمي | التمويل الكمي |
| العائلة | Regression model | Regression model |
| سنة النشأة≠ | 1994 | 2002 |
| صاحب الطريقة≠ | Bruno Dupire | Patrick S. Hagan |
| النوع≠ | Equity/FX Model | Interest Rate Model |
| المصدر التأسيسي≠ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ | Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108. link ↗ |
| الأسماء البديلة≠ | Deterministic Volatility Function, DVF | Stochastic Volatility Model |
| ذات صلة | 4 | 4 |
| 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 SABR (Stochastic Alpha-Beta-Rho) model is a stochastic volatility framework introduced by Hagan et al. in 2002 for valuing interest rate derivatives. It captures the smile effect in implied volatility through correlated Brownian motions and has become industry standard for swaption and caplet pricing. |
| ScholarGateمجموعة البيانات ↗ |
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