Módszerek összehasonlítása

	Longstaff-Schwartz Method	SABR modell
Tudományterület	Kvantitatív pénzügy	Kvantitatív pénzügy
Módszercsalád	Machine learning	Regression model
Keletkezés éve	2001	2002
Megalkotó	Francis A. Longstaff and Eduardo S. Schwartz	Patrick S. Hagan
Típus	Valuation Algorithm	Interest Rate Model
Alapmű	Longstaff, F. A., & Schwartz, E. S. (2001). Valuing American options by simulation: A simple least-squares approach. Review of Financial Studies, 14(1), 113-147.	Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108.
Alternatív nevek	LSM, Least-Squares MC, Optimal Stopping	Stochastic Volatility Model
Kapcsolódó	4	4
Összefoglaló	The Longstaff-Schwartz method (2001) is a Monte Carlo algorithm for pricing American options and Bermudan swaptions by approximating the optimal exercise boundary via least-squares regression. It has become the industry standard for pricing path-dependent derivatives where analytical solutions do not exist.	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.