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| SABRモデル× | 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 | Regression model | Regression model |
| 提唱年≠ | 2002 | 1994 |
| 提唱者≠ | Patrick S. Hagan | Bruno Dupire |
| 種類≠ | Interest Rate Model | Equity/FX Model |
| 原典≠ | Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108. link ↗ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ |
| 別名≠ | Stochastic Volatility Model | Deterministic Volatility Function, DVF |
| 関連 | 4 | 4 |
| 概要≠ | The SABR (Stochastic Alpha-Beta-Rho) model is a stochastic volatility framework introduced by Hagan et al. in 2002 for valuing interest rate derivatives. It captures the smile effect in implied volatility through correlated Brownian motions and has become industry standard for swaption and caplet pricing. | 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. |
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