Compara mètodes

	Model SABR	Model de Bates
Camp	Finances quantitatives	Finances quantitatives
Família	Regression model	Regression model
Any d'origen	2002	1996
Autor original	Patrick S. Hagan	David S. Bates
Tipus	Interest Rate Model	Equity/FX Model
Font seminal	Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108.	Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107.
Àlies	Stochastic Volatility Model	SVJ Model, Jump Diffusion
Relacionats	4	4
Resum	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.	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.