Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Volatilidad Local (Dupire)× | Modelo de Bates× | |
|---|---|---|
| Campo | Finanzas cuantitativas | Finanzas cuantitativas |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1994 | 1996 |
| Autor original≠ | Bruno Dupire | David S. Bates |
| Tipo | Equity/FX Model | Equity/FX Model |
| Fuente seminal≠ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ | Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107. DOI ↗ |
| Alias | Deterministic Volatility Function, DVF | SVJ Model, Jump Diffusion |
| Relacionados | 4 | 4 |
| Resumen≠ | Dupire's local volatility model (1994) is a deterministic framework that extracts a term and strike-dependent volatility function from market option prices. Unlike constant volatility, local volatility perfectly fits the observed implied volatility smile and is implemented via finite difference methods for European and American option 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. |
| ScholarGateConjunto de datos ↗ |
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