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| クランク・ニコルソン法による価格計算× | 局所ボラティリティ (Dupire)× | |
|---|---|---|
| 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 | 1994 |
| 提唱者≠ | John Crank and Phyllis Nicolson | Bruno Dupire |
| 種類≠ | PDE Solver | Equity/FX 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 ↗ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ |
| 別名 | CN Method, Implicit Finite Difference | Deterministic Volatility Function, DVF |
| 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. | 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. |
| ScholarGateデータセット ↗ |
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