Comparar métodos

	Preço por Crank-Nicolson	Volatilidade Local (Dupire)	Modelo SABR
Área	Finanças quantitativas	Finanças quantitativas	Finanças quantitativas
Família	Machine learning	Regression model	Regression model
Ano de origem	1947	1994	2002
Autor original	John Crank and Phyllis Nicolson	Bruno Dupire	Patrick S. Hagan
Tipo	PDE Solver	Equity/FX Model	Interest Rate Model
Fonte seminal	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.	Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20.	Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108.
Outros nomes	CN Method, Implicit Finite Difference	Deterministic Volatility Function, DVF	Stochastic Volatility Model
Relacionados	3	4	4
Resumo	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.	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.