Comparar métodos

	Modelo de Hull-White	Volatilidade Local (Dupire)	Modelo SABR
Área	Finanças quantitativas	Finanças quantitativas	Finanças quantitativas
Família	Regression model	Regression model	Regression model
Ano de origem	1990	1994	2002
Autor original	John C. Hull and Alan White	Bruno Dupire	Patrick S. Hagan
Tipo	Interest Rate Model	Equity/FX Model	Interest Rate Model
Fonte seminal	Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592.	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	Extended Vasicek, Generalized Vasicek	Deterministic Volatility Function, DVF	Stochastic Volatility Model
Relacionados	4	4	4
Resumo	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.	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.