Sammenlign metoder

	Bates-modellen	Hull-White-modellen
Fagområde	Kvantitativ finans	Kvantitativ finans
Familie	Regression model	Regression model
Oprindelsesår	1996	1990
Ophavsperson	David S. Bates	John C. Hull and Alan White
Type	Equity/FX Model	Interest Rate Model
Oprindelig kilde	Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107.	Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592.
Aliasser	SVJ Model, Jump Diffusion	Extended Vasicek, Generalized Vasicek
Relaterede	4	4
Resumé	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.	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.