Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Локальная волатильность (Dupire)× | Модель Бейтса× | |
|---|---|---|
| Область | Количественные финансы | Количественные финансы |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1994 | 1996 |
| Автор метода≠ | Bruno Dupire | David S. Bates |
| Тип | Equity/FX Model | Equity/FX Model |
| Основополагающий источник≠ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ | 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 ↗ |
| Другие названия | Deterministic Volatility Function, DVF | SVJ Model, Jump Diffusion |
| Связанные | 4 | 4 |
| Сводка≠ | 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. |
| ScholarGateНабор данных ↗ |
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