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| FFT di Carr-Madan× | Modello di Bates× | |
|---|---|---|
| Campo | Finanza quantitativa | Finanza quantitativa |
| Famiglia≠ | Machine learning | Regression model |
| Anno di origine≠ | 1999 | 1996 |
| Ideatore≠ | Peter Carr and Dilip B. Madan | David S. Bates |
| Tipo≠ | Valuation Algorithm | Equity/FX Model |
| Fonte seminale≠ | Carr, P., & Madan, D. B. (1999). Option valuation using the fast Fourier transform. Journal of Computational Finance, 2(4), 61-73. DOI ↗ | Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107. DOI ↗ |
| Alias | FFT Pricing, Characteristic Function Method | SVJ Model, Jump Diffusion |
| Correlati≠ | 3 | 4 |
| Sintesi≠ | 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. | 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. |
| ScholarGateInsieme di dati ↗ |
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