Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Model SABR× | Rizikově neutrální oceňování× | |
|---|---|---|
| Obor | Kvantitativní finance | Kvantitativní finance |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 2002 | 1979 |
| Tvůrce≠ | Patrick S. Hagan | John Harrison and David Kreps |
| Typ≠ | Interest Rate Model | Fundamental Principle |
| Původní zdroj≠ | Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108. link ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Další názvy≠ | Stochastic Volatility Model | Risk-Neutral Measure, Q-Measure |
| Příbuzné | 4 | 4 |
| Shrnutí≠ | 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. | Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing. |
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