SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
juniuss
Topic Author
Posts: 3
Joined: August 16th, 2018, 9:28 am

How to derive vol from Heston Model

September 14th, 2018, 3:24 pm

Hi

I`m not sure with understanding Heston Model clearly.

1) How to derive volatility after calibrating all parameters from vanilla options in Heston Model? 
    Is it like putting Heston price in BS model to derive Implied vol? 

 2)  what`s the exact meaning of volatility in volatility smile by Heston Model?  
   is it instantaneous volatility like local volatility at forward ?  
   Then how to use volatility(in smile curve) for pricing ? 
   i`m not sure.

3) How about SABR MODEL
    What`s the meaning of volatility of SABR MODEL.

I`m quiet confusing in understanding stochastic volatility model. 
IF anyone knows well, plz Help

Thanks :) 
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...