השוואת שיטות

	תנודתיות מקומית (Dupire)	תמחור נטול סיכון
תחום	מימון כמותי	מימון כמותי
משפחה	Regression model	Regression model
שנת המקור	1994	1979
הוגה השיטה	Bruno Dupire	John Harrison and David Kreps
סוג	Equity/FX Model	Fundamental Principle
מקור מכונן	Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20.	Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408.
כינויים	Deterministic Volatility Function, DVF	Risk-Neutral Measure, Q-Measure
קשורות	4	4
תקציר	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.	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.