Módszerek összehasonlítása

	Bates-modell	Lokális volatilitás (Dupire)
Tudományterület	Kvantitatív pénzügy	Kvantitatív pénzügy
Módszercsalád	Regression model	Regression model
Keletkezés éve	1996	1994
Megalkotó	David S. Bates	Bruno Dupire
Típus	Equity/FX Model	Equity/FX Model
Alapmű	Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107.	Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20.
Alternatív nevek	SVJ Model, Jump Diffusion	Deterministic Volatility Function, DVF
Kapcsolódó	4	4
Összefoglaló	The Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency option markets. It extends the Heston model by adding a Poisson jump component to returns, making it suitable for pricing options when sudden price moves are expected.	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.