So sánh phương pháp

	Mô hình SABR	Định giá trung lập rủi ro
Lĩnh vực	Tài chính định lượng	Tài chính định lượng
Họ	Regression model	Regression model
Năm ra đời	2002	1979
Người khởi xướng	Patrick S. Hagan	John Harrison and David Kreps
Loại	Interest Rate Model	Fundamental Principle
Công trình gốc	Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108.	Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408.
Tên gọi khác	Stochastic Volatility Model	Risk-Neutral Measure, Q-Measure
Liên quan	4	4
Tóm tắt	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.	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.