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| 局所ボラティリティ (Dupire)× | クランク・ニコルソン法による価格計算× | |
|---|---|---|
| 分野 | 数理ファイナンス | 数理ファイナンス |
| 系統≠ | Regression model | Machine learning |
| 提唱年≠ | 1994 | 1947 |
| 提唱者≠ | Bruno Dupire | John Crank and Phyllis Nicolson |
| 種類≠ | Equity/FX Model | PDE Solver |
| 原典≠ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ | 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 ↗ |
| 別名 | Deterministic Volatility Function, DVF | CN Method, Implicit Finite Difference |
| 関連≠ | 4 | 3 |
| 概要≠ | 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 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. |
| ScholarGateデータセット ↗ |
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