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How to choose my stochastic volatility parameters? A review
Published: December 22, 2025 |
arXiv ID: 2512.19821v1
By: Fabien Le Floc'h
Potential Business Impact:
Helps predict stock prices more accurately.
Business Areas:
Prediction Markets
Financial Services
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.
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Page Count
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Category
Quantitative Finance:
Pricing of Securities