Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Volatilidad Local (Dupire)× | Valoración neutral al riesgo× | |
|---|---|---|
| Campo | Finanzas cuantitativas | Finanzas cuantitativas |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1994 | 1979 |
| Autor original≠ | Bruno Dupire | John Harrison and David Kreps |
| Tipo≠ | Equity/FX Model | Fundamental Principle |
| Fuente seminal≠ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Alias | Deterministic Volatility Function, DVF | Risk-Neutral Measure, Q-Measure |
| 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. | Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing. |
| ScholarGateConjunto de datos ↗ |
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