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| Hull-White模型× | 局部波动率 (Dupire)× | SABR模型× | |
|---|---|---|---|
| 领域 | 量化金融 | 量化金融 | 量化金融 |
| 方法族 | Regression model | Regression model | Regression model |
| 起源年份≠ | 1990 | 1994 | 2002 |
| 提出者≠ | John C. Hull and Alan White | Bruno Dupire | Patrick S. Hagan |
| 类型≠ | Interest Rate Model | Equity/FX Model | Interest Rate Model |
| 开创性文献≠ | Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. DOI ↗ | Dupire, B. (1994). Pricing with a smile. Risk Magazine, 7(1), 18-20. link ↗ | Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, 1, 84-108. link ↗ |
| 别名≠ | Extended Vasicek, Generalized Vasicek | Deterministic Volatility Function, DVF | Stochastic Volatility Model |
| 相关 | 4 | 4 | 4 |
| 摘要≠ | The Hull-White model (1990) is a one-factor short-rate model with time-dependent mean reversion and volatility, designed to fit the initial yield curve exactly. It generalizes the Vasicek model to allow better calibration to observed bond and derivative prices, and is widely used for pricing interest rate exotics and managing interest rate risk. | 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 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. |
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