مقایسهٔ روشها
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| SABR Model× | ارزشگذاری بیخطر نسبت به ریسک× | |
|---|---|---|
| حوزه | مالی کمّی | مالی کمّی |
| خانواده | Regression model | Regression model |
| سال پیدایش≠ | 2002 | 1979 |
| پدیدآور≠ | Patrick S. Hagan | John Harrison and David Kreps |
| نوع≠ | Interest Rate Model | Fundamental Principle |
| منبع بنیادین≠ | Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108. link ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| نامهای دیگر≠ | Stochastic Volatility Model | Risk-Neutral Measure, Q-Measure |
| مرتبط | 4 | 4 |
| خلاصه≠ | 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. | 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. |
| ScholarGateمجموعهداده ↗ |
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