Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Modélisation binomiale des options (Cox-Ross-Rubinstein)× | Modèle de saut-diffusion de Merton× | |
|---|---|---|
| Domaine | Finance | Finance |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1979 | 1976 |
| Auteur d'origine≠ | John Cox, Stephen Ross & Mark Rubinstein | Robert C. Merton |
| Type≠ | Discrete-time lattice option-pricing model | Continuous-time asset price model (diffusion plus Poisson jumps) |
| Source fondatrice≠ | Cox, J. C., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229–263. DOI ↗ | Merton, R. C. (1976). Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3(1–2), 125–144. DOI ↗ |
| Alias≠ | binomial tree model, Cox-Ross-Rubinstein model, CRR model, lattice option pricing | Merton jump-diffusion, jump-diffusion process, Atlama Difüzyon Modeli (Merton Jump-Diffusion) |
| Apparentées | 4 | 4 |
| Résumé≠ | The binomial option pricing model, introduced by John Cox, Stephen Ross, and Mark Rubinstein in 1979, prices options by modelling the underlying as a discrete tree in which the price moves up or down by fixed factors at each step. Working backward from the option's payoff at maturity using risk-neutral probabilities, it produces a no-arbitrage price that converges to Black-Scholes as the number of steps grows — while naturally handling American early exercise, which the closed-form formula cannot. | The Merton Jump-Diffusion model, introduced by Robert C. Merton in 1976, extends Geometric Brownian Motion by adding sudden price jumps generated by a Poisson process. It captures the volatility smile and the fat-tailed return behaviour that standard Black-Scholes cannot explain, and is widely used in option pricing and risk management. |
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