# When a stochastic volatility model is calibrated?

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.

• $$\alpha$$, the initial instantaneous volatility of an ATM option. This is calibrated frequently and often intra-day due to the importance of ATM options.
• $$\beta$$, which describes the backbone of volatility. This is often chosen a priori and not calibrated.
• $$\rho$$, which describes the correlation betweent the Brownian motions driving the forward process and its vol proces, respectivelty. This is not calibrated as frequently - perhaps once a week/month depending on the market.
• $$\nu$$, which is the vol of vol. This is not calibrated as frequently - perhaps once a week/month depending of the market.