Methoden vergleichen

	Crank-Nicolson-Preisbildung	SABR-Modell
Fachgebiet	Quantitative Finanzwirtschaft	Quantitative Finanzwirtschaft
Familie	Machine learning	Regression model
Entstehungsjahr	1947	2002
Urheber	John Crank and Phyllis Nicolson	Patrick S. Hagan
Typ	PDE Solver	Interest Rate Model
Wegweisende Quelle	Crank, J., & Nicolson, P. (1947). A practical method for numerical evaluation of solutions of partial differential equations of the heat-conduction type. Mathematical Proceedings of the Cambridge Philosophical Society, 43(1), 50-67.	Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108.
Aliasnamen	CN Method, Implicit Finite Difference	Stochastic Volatility Model
Verwandt	3	4
Zusammenfassung	The Crank-Nicolson method is a widely-used implicit finite difference scheme for solving PDEs in option pricing. It provides second-order accuracy in both space and time, unconditional stability, and can efficiently price derivatives with early exercise features (American options) or complex boundary conditions.	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.