השוואת שיטות

	מודל SABR	תנודתיות מקומית (Dupire)
תחום	מימון כמותי	מימון כמותי
משפחה	Regression model	Regression model
שנת המקור	2002	1994
הוגה השיטה	Patrick S. Hagan	Bruno Dupire
סוג	Interest Rate Model	Equity/FX Model
מקור מכונן	Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108.	Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20.
כינויים	Stochastic Volatility Model	Deterministic Volatility Function, DVF
קשורות	4	4
תקציר	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.	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.