手法を比較
選択した手法を並べて確認できます。異なる行はハイライト表示されます。
| クランク・ニコルソン法による価格計算× | Hull-White モデル× | |
|---|---|---|
| 分野 | 数理ファイナンス | 数理ファイナンス |
| 系統≠ | Machine learning | Regression model |
| 提唱年≠ | 1947 | 1990 |
| 提唱者≠ | John Crank and Phyllis Nicolson | John C. Hull and Alan White |
| 種類≠ | PDE Solver | Interest Rate Model |
| 原典≠ | Crank, J., & Nicolson, P. (1947). A practical method for numerical evaluation of solutions of partial differential equations of the heat-conduction type. Mathematical Proceedings of the Cambridge Philosophical Society, 43(1), 50-67. DOI ↗ | Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. DOI ↗ |
| 別名 | CN Method, Implicit Finite Difference | Extended Vasicek, Generalized Vasicek |
| 関連≠ | 3 | 4 |
| 概要≠ | The Crank-Nicolson method is a widely-used implicit finite difference scheme for solving PDEs in option pricing. It provides second-order accuracy in both space and time, unconditional stability, and can efficiently price derivatives with early exercise features (American options) or complex boundary conditions. | The Hull-White model (1990) is a one-factor short-rate model with time-dependent mean reversion and volatility, designed to fit the initial yield curve exactly. It generalizes the Vasicek model to allow better calibration to observed bond and derivative prices, and is widely used for pricing interest rate exotics and managing interest rate risk. |
| ScholarGateデータセット ↗ |
|
|