Comparer des méthodes

	Pricing par Crank-Nicolson	Modèle de Hull-White	Volatilité locale (Dupire)	Modèle SABR
Domaine	Finance quantitative	Finance quantitative	Finance quantitative	Finance quantitative
Famille	Machine learning	Regression model	Regression model	Regression model
Année d'origine	1947	1990	1994	2002
Auteur d'origine	John Crank and Phyllis Nicolson	John C. Hull and Alan White	Bruno Dupire	Patrick S. Hagan
Type	PDE Solver	Interest Rate Model	Equity/FX Model	Interest Rate Model
Source fondatrice	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.	Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592.	Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20.	Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108.
Alias	CN Method, Implicit Finite Difference	Extended Vasicek, Generalized Vasicek	Deterministic Volatility Function, DVF	Stochastic Volatility Model
Apparentées	3	4	4	4
Résumé	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.	The Hull-White model (1990) is a one-factor short-rate model with time-dependent mean reversion and volatility, designed to fit the initial yield curve exactly. It generalizes the Vasicek model to allow better calibration to observed bond and derivative prices, and is widely used for pricing interest rate exotics and managing interest rate risk.	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 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.