Bandingkan metode

	Volatilitas Lokal (Dupire)	Model Bates
Bidang	Keuangan Kuantitatif	Keuangan Kuantitatif
Keluarga	Regression model	Regression model
Tahun asal	1994	1996
Pencetus	Bruno Dupire	David S. Bates
Tipe	Equity/FX Model	Equity/FX Model
Sumber perintis	Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20.	Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107.
Alias	Deterministic Volatility Function, DVF	SVJ Model, Jump Diffusion
Terkait	4	4
Ringkasan	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.	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.