Methoden vergleichen

	SABR-Modell	Bates-Modell
Fachgebiet	Quantitative Finanzwirtschaft	Quantitative Finanzwirtschaft
Familie	Regression model	Regression model
Entstehungsjahr	2002	1996
Urheber	Patrick S. Hagan	David S. Bates
Typ	Interest Rate Model	Equity/FX Model
Wegweisende Quelle	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.
Aliasnamen	Stochastic Volatility Model	SVJ Model, Jump Diffusion
Verwandt	4	4
Zusammenfassung	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.