Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Локальная волатильность (Dupire)× | Оценка в условиях нейтральности к риску× | |
|---|---|---|
| Область | Количественные финансы | Количественные финансы |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1994 | 1979 |
| Автор метода≠ | Bruno Dupire | John Harrison and David Kreps |
| Тип≠ | Equity/FX Model | Fundamental Principle |
| Основополагающий источник≠ | 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 ↗ |
| Другие названия | Deterministic Volatility Function, DVF | Risk-Neutral Measure, Q-Measure |
| 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. | 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. |
| ScholarGateНабор данных ↗ |
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