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| Modèle de Bates× | Volatilité locale (Dupire)× | |
|---|---|---|
| Domaine | Finance quantitative | Finance quantitative |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1996 | 1994 |
| Auteur d'origine≠ | David S. Bates | Bruno Dupire |
| Type | Equity/FX Model | Equity/FX Model |
| Source fondatrice≠ | 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 ↗ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ |
| Alias | SVJ Model, Jump Diffusion | Deterministic Volatility Function, DVF |
| Apparentées | 4 | 4 |
| Résumé≠ | 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. | 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. |
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