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Прегледайте избраните методи един до друг; редовете с разлики са откроени.
| Модел на Бейтс× | Модел SABR× | |
|---|---|---|
| Област | Количествени финанси | Количествени финанси |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1996 | 2002 |
| Създател≠ | David S. Bates | Patrick S. Hagan |
| Тип≠ | Equity/FX Model | Interest Rate Model |
| Основополагащ източник≠ | Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107. DOI ↗ | Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108. link ↗ |
| Други названия≠ | SVJ Model, Jump Diffusion | Stochastic Volatility Model |
| Свързани | 4 | 4 |
| Резюме≠ | The Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency option markets. It extends the Heston model by adding a Poisson jump component to returns, making it suitable for pricing options when sudden price moves are expected. | 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. |
| ScholarGateНабор от данни ↗ |
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