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| Model de Hull-White× | Volatilitat Local (Dupire)× | |
|---|---|---|
| Camp | Finances quantitatives | Finances quantitatives |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1990 | 1994 |
| Autor original≠ | John C. Hull and Alan White | Bruno Dupire |
| Tipus≠ | Interest Rate Model | Equity/FX Model |
| Font seminal≠ | Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. DOI ↗ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ |
| Àlies | Extended Vasicek, Generalized Vasicek | Deterministic Volatility Function, DVF |
| Relacionats | 4 | 4 |
| Resum≠ | 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. | Dupire's local volatility model (1994) is a deterministic framework that extracts a term and strike-dependent volatility function from market option prices. Unlike constant volatility, local volatility perfectly fits the observed implied volatility smile and is implemented via finite difference methods for European and American option pricing. |
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