Compara mètodes
Revisa els mètodes seleccionats l'un al costat de l'altre; les files que difereixen es ressalten.
| Model de preus d'opcions binomial (Cox-Ross-Rubinstein)× | Models de tipus d'interès (Vasicek, CIR, Nelson-Siegel)× | |
|---|---|---|
| Camp | Finances | Finances |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1979 | 1977 |
| Autor original≠ | John Cox, Stephen Ross & Mark Rubinstein | Vasicek (1977); Nelson & Siegel (1987) |
| Tipus≠ | Discrete-time lattice option-pricing model | Term-structure / short-rate model |
| Font seminal≠ | Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229–263. DOI ↗ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ |
| Àlies≠ | binomial tree model, Cox-Ross-Rubinstein model, CRR model, lattice option pricing | term structure models, short-rate models, yield curve models, Vasicek model |
| Relacionats≠ | 4 | 5 |
| Resum≠ | The binomial option pricing model, introduced by John Cox, Stephen Ross, and Mark Rubinstein in 1979, prices options by modelling the underlying as a discrete tree in which the price moves up or down by fixed factors at each step. Working backward from the option's payoff at maturity using risk-neutral probabilities, it produces a no-arbitrage price that converges to Black-Scholes as the number of steps grows — while naturally handling American early exercise, which the closed-form formula cannot. | Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the adjustable Hull-White extension, and the Nelson-Siegel approach to fitting the yield curve (1987). |
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