Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Греки за допомогою автоматичного диференціювання× | Локальна волатильність (Dupire)× | Оцінювання за нейтрального до ризику ставлення× | |
|---|---|---|---|
| Галузь | Кількісні фінанси | Кількісні фінанси | Кількісні фінанси |
| Родина≠ | Machine learning | Regression model | Regression model |
| Рік появи≠ | 2008 | 1994 | 1979 |
| Автор методу≠ | Mike Giles, Iman Homescu | Bruno Dupire | John Harrison and David Kreps |
| Тип≠ | Sensitivity Analysis | Equity/FX Model | Fundamental Principle |
| Основоположне джерело≠ | Giles, M. B. (2008). Adjoint code by automatic differentiation. Journal of Computational Finance, 12(1), 1-18. link ↗ | 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 ↗ |
| Інші назви≠ | AD Greeks, Algorithmic Differentiation, Autodiff | Deterministic Volatility Function, DVF | Risk-Neutral Measure, Q-Measure |
| Пов'язані≠ | 3 | 4 | 4 |
| Підсумок≠ | Automatic differentiation (AD) is a computational technique for computing derivatives (Greeks) by differentiating the computer code that computes the option price. AD avoids manual derivation of formulas and finite-difference approximations, yielding exact sensitivities with machine precision. It has become essential for real-time risk management in modern trading systems. | 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. |
| ScholarGateНабір даних ↗ |
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