Bandingkan metode

	FFT Carr-Madan	Volatilitas Lokal (Dupire)
Bidang	Keuangan Kuantitatif	Keuangan Kuantitatif
Keluarga	Machine learning	Regression model
Tahun asal	1999	1994
Pencetus	Peter Carr and Dilip B. Madan	Bruno Dupire
Tipe	Valuation Algorithm	Equity/FX Model
Sumber perintis	Carr, P., & Madan, D. B. (1999). Option valuation using the fast Fourier transform. Journal of Computational Finance, 2(4), 61-73.	Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20.
Alias	FFT Pricing, Characteristic Function Method	Deterministic Volatility Function, DVF
Terkait	3	4
Ringkasan	The Carr-Madan Fast Fourier Transform (1999) is a highly efficient method for computing option prices across a range of strikes using characteristic functions and FFT. It enables rapid pricing of European options under any model with a known characteristic function (Heston, Merton jumps, Variance Gamma), with computational complexity that scales logarithmically in the number of strikes.	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.