Timeline for how does stochastic volatility models generate smiles?
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jan 4, 2020 at 21:54 | comment | added | Canardini | I read your answer , exactly you got it right. The smile is a model dependent. | |
| Jan 4, 2020 at 18:36 | answer | added | LocalMartingale | timeline score: 3 | |
| Jan 4, 2020 at 17:39 | comment | added | LocalMartingale | What I'm asking is why the implied volatility surface using a stochastic volatility model is not generating a flat curve (like a local volatility model)? Lets say, when I calibrate a stochastic volatility model to market data, I achieve a optimal $\sigma_t$. This $\sigma_t$ is constant anyway (like in a local volatility model), and hence the volatility surface generated using a stochastic volatility model must be flat aswell? | |
| Jan 4, 2020 at 16:22 | comment | added | Canardini | Are you asking how a flat smile will translate to parameters of a stochastic vol model? | |
| Jan 4, 2020 at 14:53 | history | asked | LocalMartingale | CC BY-SA 4.0 |