Krahasoni metodat

	Volatiliteti Lokal (Dupire)	Modeli Bates
Fusha	Financa kuantitative	Financa kuantitative
Familja	Regression model	Regression model
Viti i origjinës	1994	1996
Krijuesi	Bruno Dupire	David S. Bates
Lloji	Equity/FX Model	Equity/FX Model
Burimi themelues	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.
Emërtime të tjera	Deterministic Volatility Function, DVF	SVJ Model, Jump Diffusion
Të lidhura	4	4
Përmbledhja	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.