How to choose my stochastic volatility parameters? A review
Fuente:
arXiv
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| Main Author: | |
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866909973896757248 |
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| author | Floc'h, Fabien Le |
| author_facet | Floc'h, Fabien Le |
| contents | Based on the existing literature, this article presents the different ways of choosing the parameters of stochastic volatility models in general, in the context of pricing financial derivative contracts. This includes the use of stochastic volatility inside stochastic local volatility models. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_19821 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | How to choose my stochastic volatility parameters? A review Floc'h, Fabien Le Pricing of Securities Computational Finance Risk Management Based on the existing literature, this article presents the different ways of choosing the parameters of stochastic volatility models in general, in the context of pricing financial derivative contracts. This includes the use of stochastic volatility inside stochastic local volatility models. |
| title | How to choose my stochastic volatility parameters? A review |
| topic | Pricing of Securities Computational Finance Risk Management |
| url | https://arxiv.org/abs/2512.19821 |