Salīdzināt metodes

	Batesa modelis	Modelis SABR
Nozare	Kvantitatīvās finanses	Kvantitatīvās finanses
Saime	Regression model	Regression model
Izcelsmes gads	1996	2002
Autors	David S. Bates	Patrick S. Hagan
Tips	Equity/FX Model	Interest Rate Model
Pirmavots	Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107.	Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108.
Citi nosaukumi	SVJ Model, Jump Diffusion	Stochastic Volatility Model
Saistītās	4	4
Kopsavilkums	The Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency option markets. It extends the Heston model by adding a Poisson jump component to returns, making it suitable for pricing options when sudden price moves are expected.	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.