In an Investment Bank, how often a stochastic volatility model is calibrated ? Is it calibrated daily ? Is it calibrated whenever a pricing is required ?
Thanks.
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Sign up to join this communityThis depends largely on the model as well as the market, so there is no one-size-fits-all approach. Let us take the Stochastic Alpha Beta Rho (SABR) model, which has four parameters, as an example:
Have a look at the initial paper by Pat Hagan et al. for more information!