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In a similar way to local volatility? I'm trying to calibrate a surface, but the results aren't convincing, so I was wondering if it was necessary to first use a way to regulate it (splines, regressions), then calibrate the Heston model, or if it was necessary to calibrate first the model on the few data, then get a surface.

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Apparently your heston model parameters should define the surface. You're fitting to options quoted in the market, thus a minimization exercise. Not like local vol, where it needs a abitrage free implied vol surface to garantee uniqueness

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  • $\begingroup$ Thank you ! I should do better then. $\endgroup$ – quezac Dec 11 '19 at 20:03

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