Sammenlign metoder

	Crank-Nicolson-priser	Hull-White-modellen
Fagfelt	Kvantitativ finans	Kvantitativ finans
Familie	Machine learning	Regression model
Opprinnelsesår	1947	1990
Opphavsperson	John Crank and Phyllis Nicolson	John C. Hull and Alan White
Type	PDE Solver	Interest Rate Model
Opprinnelig kilde	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.	Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592.
Alias	CN Method, Implicit Finite Difference	Extended Vasicek, Generalized Vasicek
Relaterte	3	4
Sammendrag	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.	The Hull-White model (1990) is a one-factor short-rate model with time-dependent mean reversion and volatility, designed to fit the initial yield curve exactly. It generalizes the Vasicek model to allow better calibration to observed bond and derivative prices, and is widely used for pricing interest rate exotics and managing interest rate risk.