# Tagged Questions

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### How does one calibrate a stochastic volatility model?

I will try to use SABR Model to price call options in FX market. What does it mean to calibrate the model? As far as my understanding of the Wikipedia article goes, it means to estimate the parameters....
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### Standard Stochastic Volatility Models VS Moving Average Stochastic Volatility Model

Hi... I am comparing the log-volatility of two SV models with an application to MATLAB. Since I am a rookie in this field, I do not know if I am wrong in interpreting the graph. In my opinion the only ...
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### Hull White Stochastic Volatility Model in Matlab

I'm trying to code the Hull White stochastic volatility model using matlab and somewhere my code seems to mess up. I've coded the SABR model as well and that's working fine. When I compare prices ...
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### Estimate Volatility process

How can I estimate the process $\sigma_{t}$ given in the following paper: Spot volatility estimation for high frequency data. J. Fan, Y. Wang. Does anyone have an idea? Free source Edit: Iam very ...
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### relation between asset's and equity volatilities - merton model

In terms of Merton credit risk model need to find the initial value of counterparty's assets and the volatility of the assets. Both value are not directly observable thus we have to approximate them ...
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### Extended Areas on Stochastic Volatility Modelling

I'm interested in the areas surrounding Stochastic Volatility Modelling. I've read up on the main models that are prominent in the literature (Hull White, Heston, SABR) but I was wondering what the ...
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### Could someone please share the Matlab code for the stochastic volatility jump diffusion option pricing model? (Bates model) [closed]

I have not been able to write a Matlab code for the Bates model without errors. Could someone share theirs please?
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### SABR Model Closed Form Solution

I've been researching the SABR model and one of the main benefits it seems is that you can obtain a closed for solution of the implied BS volatility in certain cases. In all the papers I've read, I ...
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### Extrapolating SVI

In his paper Gatheral presents the following parametrization of the implied total variance $w(k,T) = \sigma_{BS}(k,T)^2T$ $$w(k) = a + b\{\rho (k-m) + \sqrt{(k-m)^2 + \sigma^2} \}.$$ Assuming that ...
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### What is the rationale behind using SV models with 2 distinct volatility processes?

In the Double Heston model, there are 2 distinct volatility processes. The SDEs read \begin{align} & d{{S}_{t}}=r{{S}_{t}}dt+\sqrt{{{v}_{1}}(t)}{{S}_{t}}d{{W}_{1}}(t)+\sqrt{{{v}_{2}}(t)}{{S}_{t}}...
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### wishart stochastic volatility models

Stochastic volatility models assume that volatility follow a random process.In the emerging market the volatility tend to be high. why is it that the wishart stochastic volatility model fit well the ...
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### Do we need Feller condition if volatility process jumps?

It is fairly known that in affine processes, as Heston model \begin{aligned} dS_t &= \mu S_t dt + \sqrt{v_t} S_t dW^{S}_{t} \\ dv_t &= k(\theta - v_t) dt + \xi \sqrt{v_t} dW^{...