विधियों की तुलना करें

	SABR मॉडल	स्थानीय अस्थिरता (Dupire)
क्षेत्र	मात्रात्मक वित्त	मात्रात्मक वित्त
परिवार	Regression model	Regression model
उद्भव वर्ष	2002	1994
प्रवर्तक	Patrick S. Hagan	Bruno Dupire
प्रकार	Interest Rate Model	Equity/FX Model
मौलिक स्रोत	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.
उपनाम	Stochastic Volatility Model	Deterministic Volatility Function, DVF
संबंधित	4	4
सारांश	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.