Compară metode

	Volatilitatea locală (Dupire)	Modelul Bates
Domeniu	Finanțe cantitative	Finanțe cantitative
Familie	Regression model	Regression model
Anul apariției	1994	1996
Autorul original	Bruno Dupire	David S. Bates
Tip	Equity/FX Model	Equity/FX Model
Sursa seminală	Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20.	Bates, D. S. (1996). Jumps and stochastic volatility: Exchange rate processes implicit in Deutsche Mark options. Review of Financial Studies, 9(1), 69-107.
Denumiri alternative	Deterministic Volatility Function, DVF	SVJ Model, Jump Diffusion
Înrudite	4	4
Rezumat	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 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.