Jämför metoder
Granska de valda metoderna sida vid sida; rader som skiljer sig är markerade.
| SABR-modell× | Bates-modellen× | |
|---|---|---|
| Ämnesområde | Kvantitativ finans | Kvantitativ finans |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 2002 | 1996 |
| Upphovsperson≠ | Patrick S. Hagan | David S. Bates |
| Typ≠ | Interest Rate Model | Equity/FX Model |
| Ursprungskälla≠ | Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108. 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 ↗ |
| Alias≠ | Stochastic Volatility Model | SVJ Model, Jump Diffusion |
| Närliggande | 4 | 4 |
| Sammanfattning≠ | 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. | 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. |
| ScholarGateDatamängd ↗ |
|
|