Simulating Stochastic Volatility Models

Jianwei Zhu ()
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Jianwei Zhu: Lucht Probst Associates

Chapter Chapter 5 in Applications of Fourier Transform to Smile Modeling, 2010, pp 113-133 from Springer

Abstract: Abstract In this chapter we address how to simulate stochastic volatility model. After a stochastic volatility model is calibrated to market smile surface, we can use the calibrated stochastic volatility parameters to simulate the prices of the underlying asset, and then to value exotic products.

Keywords: Stochastic Volatility; Implied Volatility; Euler Scheme; Simulation Scheme; Stochastic Volatility Model (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-01808-4_5

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DOI: 10.1007/978-3-642-01808-4_5

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