Methoden vergleichen

	Bates-Modell	SABR-Modell
Fachgebiet	Quantitative Finanzwirtschaft	Quantitative Finanzwirtschaft
Familie	Regression model	Regression model
Entstehungsjahr	1996	2002
Urheber	David S. Bates	Patrick S. Hagan
Typ	Equity/FX Model	Interest Rate Model
Wegweisende Quelle	Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107.	Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108.
Aliasnamen	SVJ Model, Jump Diffusion	Stochastic Volatility Model
Verwandt	4	4
Zusammenfassung	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 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.