Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Оценка в условиях нейтральности к риску× | Модель SABR× | |
|---|---|---|
| Область | Количественные финансы | Количественные финансы |
| Семейство | Regression model | Regression model |
| Год появления≠ | 1979 | 2002 |
| Автор метода≠ | John Harrison and David Kreps | Patrick S. Hagan |
| Тип≠ | Fundamental Principle | Interest Rate Model |
| Основополагающий источник≠ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ | Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108. link ↗ |
| Другие названия≠ | Risk-Neutral Measure, Q-Measure | Stochastic Volatility Model |
| Связанные | 4 | 4 |
| Сводка≠ | 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. | The SABR (Stochastic Alpha-Beta-Rho) model is a stochastic volatility framework introduced by Hagan et al. in 2002 for valuing interest rate derivatives. It captures the smile effect in implied volatility through correlated Brownian motions and has become industry standard for swaption and caplet pricing. |
| ScholarGateНабор данных ↗ |
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