I'm trying to price autocalls.
In theory my pricing method is ok (I followed Bouzoubaa's book procedure) but I'm not sure I read anything on calibration of autocalls. Basically my question is what part of the vol surface should I use ? My coupon digits can range from 50% to 90% and the same range for the put down and in barrier.
Let's say i do 2 pricings. First one coupon barrier 50%, second one coupon barrier 80%. The put remains the same, strike 100%, barrier 80%. Should I calibrate 2 different models ? I mean, first one I should use vol surface with strike ranging from 50% to 100% and second one, the surface from 80 to 100% ?
I'm simulating Monte Carlo paths with Heston model, in case this could be relevant