방법 비교
선택한 방법을 나란히 검토하세요. 서로 다른 행은 강조 표시됩니다.
| Crank-Nicolson 가격 결정× | 국소 변동성 (듀피어)× | |
|---|---|---|
| 분야 | 금융공학 | 금융공학 |
| 계열≠ | Machine learning | Regression model |
| 기원 연도≠ | 1947 | 1994 |
| 창시자≠ | John Crank and Phyllis Nicolson | Bruno Dupire |
| 유형≠ | PDE Solver | Equity/FX Model |
| 원전≠ | 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 ↗ |
| 별칭 | CN Method, Implicit Finite Difference | Deterministic Volatility Function, DVF |
| 관련≠ | 3 | 4 |
| 요약≠ | 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. |
| ScholarGate데이터셋 ↗ |
|
|