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| Lokalan Volatilitet (Dupire)× | Vrednovanje neutralno na rizik× | |
|---|---|---|
| Oblast | Kvantitativne finansije | Kvantitativne finansije |
| Porodica | Regression model | Regression model |
| Godina nastanka≠ | 1994 | 1979 |
| Tvorac≠ | Bruno Dupire | John Harrison and David Kreps |
| Tip≠ | Equity/FX Model | Fundamental Principle |
| Temeljni izvor≠ | 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 ↗ |
| Drugi nazivi | Deterministic Volatility Function, DVF | Risk-Neutral Measure, Q-Measure |
| Srodne | 4 | 4 |
| Sažetak≠ | 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. |
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