Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Volatilidade Local (Dupire)× | Precificação Neutra ao Risco× | |
|---|---|---|
| Área | Finanças quantitativas | Finanças quantitativas |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1994 | 1979 |
| Autor original≠ | Bruno Dupire | John Harrison and David Kreps |
| Tipo≠ | Equity/FX Model | Fundamental Principle |
| Fonte seminal≠ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Outros nomes | Deterministic Volatility Function, DVF | Risk-Neutral Measure, Q-Measure |
| Relacionados | 4 | 4 |
| Resumo≠ | 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. | 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. |
| ScholarGateConjunto de dados ↗ |
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