Comparer des méthodes

	Modèle de Bates	Modèle SABR
Domaine	Finance quantitative	Finance quantitative
Famille	Regression model	Regression model
Année d'origine	1996	2002
Auteur d'origine	David S. Bates	Patrick S. Hagan
Type	Equity/FX Model	Interest Rate 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.	Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108.
Alias	SVJ Model, Jump Diffusion	Stochastic Volatility Model
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.	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.