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| 局部波动率 (Dupire)× | 无风险中性定价× | |
|---|---|---|
| 领域 | 量化金融 | 量化金融 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1994 | 1979 |
| 提出者≠ | Bruno Dupire | John Harrison and David Kreps |
| 类型≠ | Equity/FX Model | Fundamental Principle |
| 开创性文献≠ | 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 ↗ |
| 别名 | Deterministic Volatility Function, DVF | Risk-Neutral Measure, Q-Measure |
| 相关 | 4 | 4 |
| 摘要≠ | 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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