Comparar métodos

	FFT de Carr-Madan	Modelo de Bates
Campo	Finanzas cuantitativas	Finanzas cuantitativas
Familia	Machine learning	Regression model
Año de origen	1999	1996
Autor original	Peter Carr and Dilip B. Madan	David S. Bates
Tipo	Valuation Algorithm	Equity/FX Model
Fuente seminal	Carr, P., & Madan, D. B. (1999). Option valuation using the fast Fourier transform. Journal of Computational Finance, 2(4), 61-73.	Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107.
Alias	FFT Pricing, Characteristic Function Method	SVJ Model, Jump Diffusion
Relacionados	3	4
Resumen	The Carr-Madan Fast Fourier Transform (1999) is a highly efficient method for computing option prices across a range of strikes using characteristic functions and FFT. It enables rapid pricing of European options under any model with a known characteristic function (Heston, Merton jumps, Variance Gamma), with computational complexity that scales logarithmically in the number of strikes.	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.