Compară metode
Examinează metodele selectate una lângă alta; rândurile care diferă sunt evidențiate.
| Modelul Bates× | Modelul Hull-White× | |
|---|---|---|
| Domeniu | Finanțe cantitative | Finanțe cantitative |
| Familie | Regression model | Regression model |
| Anul apariției≠ | 1996 | 1990 |
| Autorul original≠ | David S. Bates | John C. Hull and Alan White |
| Tip≠ | Equity/FX Model | Interest Rate Model |
| Sursa seminală≠ | Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107. DOI ↗ | Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. DOI ↗ |
| Denumiri alternative | SVJ Model, Jump Diffusion | Extended Vasicek, Generalized Vasicek |
| Înrudite | 4 | 4 |
| Rezumat≠ | The Bates model (1996) combines stochastic volatility and jump diffusion to capture both the volatility smile and the implied volatility skew observed in equity and currency option markets. It extends the Heston model by adding a Poisson jump component to returns, making it suitable for pricing options when sudden price moves are expected. | 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. |
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