مقایسهٔ روش‌ها

	مدل نوسانات محلی (Dupire)	روش کرانک-نیکلسون
حوزه	مالی کمّی	مالی کمّی
خانواده	Regression model	Machine learning
سال پیدایش	1994	1947
پدیدآور	Bruno Dupire	John Crank and Phyllis Nicolson
نوع	Equity/FX Model	PDE Solver
منبع بنیادین	Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20.	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.
نام‌های دیگر	Deterministic Volatility Function, DVF	CN Method, Implicit Finite Difference
مرتبط	4	3
خلاصه	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 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.