Which parametric volatility is realistic to test quickly and qualitatively a model? I do not wish to fit market quotes but would like to have a non-trivial volatility with skew or smile to do some MC simulation.
Thanks
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$\begingroup$ I don't understand this line: "Which parametric volatility is realistic to test quickly and qualitatively a model?" So basically you want to settle on a model and then test the model qualitatively? What should this "qualitatively test" include? Also, whether a model is realistic depends a lot things for instance asset class. I am not sure what you mean wit realistic. You mention MC and smile. You can go for a stochastic(Heston/sabr) or local model, choose arbitrary parameters, implement MC simulation (requires discrimination) and use the simulation to create the smile/prices. $\endgroup$– SanjayCommented Aug 19, 2019 at 13:53
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$\begingroup$ I am voting to close this question because it is unclear what you are asking about. Please edit and add more about what the purpose of your experiments is. $\endgroup$– SanjayCommented Aug 19, 2019 at 13:57
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$\begingroup$ eg for illiquid underlyings, we need to build an implied vol and it's companion local vol, at least statiscally non-arbitrageable. $\endgroup$– stackoverflowerCommented Aug 21, 2019 at 13:20
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