Compară metode
Examinează metodele selectate una lângă alta; rândurile care diferă sunt evidențiate.
| Metoda Longstaff-Schwartz× | Modelul Bates× | |
|---|---|---|
| Domeniu | Finanțe cantitative | Finanțe cantitative |
| Familie≠ | Machine learning | Regression model |
| Anul apariției≠ | 2001 | 1996 |
| Autorul original≠ | Francis A. Longstaff and Eduardo S. Schwartz | David S. Bates |
| Tip≠ | Valuation Algorithm | Equity/FX Model |
| Sursa seminală≠ | Longstaff, F. A., & Schwartz, E. S. (2001). Valuing American options by simulation: A simple least-squares approach. Review of Financial Studies, 14(1), 113-147. DOI ↗ | 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 ↗ |
| Denumiri alternative≠ | LSM, Least-Squares MC, Optimal Stopping | SVJ Model, Jump Diffusion |
| Înrudite | 4 | 4 |
| Rezumat≠ | The Longstaff-Schwartz method (2001) is a Monte Carlo algorithm for pricing American options and Bermudan swaptions by approximating the optimal exercise boundary via least-squares regression. It has become the industry standard for pricing path-dependent derivatives where analytical solutions do not exist. | 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. |
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