Сравнение на методи
Прегледайте избраните методи един до друг; редовете с разлики са откроени.
| Ценообразуване по Кранк-Никълсън× | Модел на Хъл-Уайт× | |
|---|---|---|
| Област | Количествени финанси | Количествени финанси |
| Семейство≠ | Machine learning | Regression model |
| Година на възникване≠ | 1947 | 1990 |
| Създател≠ | John Crank and Phyllis Nicolson | John C. Hull and Alan White |
| Тип≠ | PDE Solver | Interest Rate Model |
| Основополагащ източник≠ | 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 ↗ | Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. DOI ↗ |
| Други названия | CN Method, Implicit Finite Difference | Extended Vasicek, Generalized Vasicek |
| Свързани≠ | 3 | 4 |
| Резюме≠ | 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. | The Hull-White model (1990) is a one-factor short-rate model with time-dependent mean reversion and volatility, designed to fit the initial yield curve exactly. It generalizes the Vasicek model to allow better calibration to observed bond and derivative prices, and is widely used for pricing interest rate exotics and managing interest rate risk. |
| ScholarGateНабор от данни ↗ |
|
|