قارن الطرق
راجع الطرق التي اخترتها جنبًا إلى جنب؛ الصفوف المختلفة مميَّزة.
| نموذج SABR× | التقييم المحايد للمخاطر× | |
|---|---|---|
| المجال | التمويل الكمي | التمويل الكمي |
| العائلة | Regression model | Regression model |
| سنة النشأة≠ | 2002 | 1979 |
| صاحب الطريقة≠ | Patrick S. Hagan | John Harrison and David Kreps |
| النوع≠ | Interest Rate Model | Fundamental Principle |
| المصدر التأسيسي≠ | Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108. link ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| الأسماء البديلة≠ | Stochastic Volatility Model | Risk-Neutral Measure, Q-Measure |
| ذات صلة | 4 | 4 |
| الملخص≠ | 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. | Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing. |
| ScholarGateمجموعة البيانات ↗ |
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