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| Model SABR× | Penilaian Bebas Risiko× | |
|---|---|---|
| Bidang | Kewangan Kuantitatif | Kewangan Kuantitatif |
| Keluarga | Regression model | Regression model |
| Tahun asal≠ | 2002 | 1979 |
| Pengasas≠ | Patrick S. Hagan | John Harrison and David Kreps |
| Jenis≠ | Interest Rate Model | Fundamental Principle |
| Sumber perintis≠ | Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108. link ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Alias≠ | Stochastic Volatility Model | Risk-Neutral Measure, Q-Measure |
| Berkaitan | 4 | 4 |
| Ringkasan≠ | 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. | Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing. |
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