Compara mètodes
Revisa els mètodes seleccionats l'un al costat de l'altre; les files que difereixen es ressalten.
| Model de risc multifactorial (Fama-French, APT)× | Model de volatilitat estocàstica (Heston)× | |
|---|---|---|
| Camp | Finances | Finances |
| Família | Regression model | Regression model |
| Any d'origen | 1993 | 1993 |
| Autor original≠ | Fama & French (factor model); Ross (Arbitrage Pricing Theory) | Steven L. Heston |
| Tipus≠ | Multi-factor linear regression model | Continuous-time stochastic volatility model |
| Font seminal≠ | Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56. DOI ↗ | Heston, S. L. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6(2), 327-343. DOI ↗ |
| Àlies≠ | Fama-French model, Fama-French three-factor model, Fama-French five-factor model, arbitrage pricing theory | Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV) |
| Relacionats | 5 | 5 |
| Resum≠ | A factor risk model is a multi-factor framework that links asset returns to systematic risk factors such as the market, value, size, and momentum. The Fama-French three- and five-factor models (1993) and Ross's Arbitrage Pricing Theory (1976) decompose portfolio risk and detect alpha. | The stochastic volatility model is a continuous-time option-pricing and risk framework in which volatility follows its own random process rather than staying constant. The Heston model, introduced by Steven Heston in 1993, gives the variance a mean-reverting square-root (CIR) dynamic and yields a closed-form option price; it is the continuous-time counterpart of GARCH. |
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