Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.

A single parameter, termed the mixing fraction, is used to calibrate current localstochastic volatility (LSV) models to traded exotic prices as well as vanilla options. This single parameter has been ...

Stochastic volatility models have been a major focus of quantitative research for more than two decades. Those days may be over. In August, Artur Sepp and Parviz Rakhmonov published a paper in ...