Beta Stochastic Volatility Model

Risk Magazine, pp. 66-71, October 2012

19 Pages Posted: 23 Sep 2012

See all articles by Artur Sepp

Artur Sepp

Quantica Capital AG

Piotr Karasinski

European Bank for Reconstruction and Development (EBRD)

Date Written: September 22, 2012

Abstract

We introduce the beta stochastic volatility model and discuss empirical features of this model and its calibration. This model is appealing because, first, its parameters can be easily understood and calibrated and, second, it produces steeper forward skews, compared to traditional stochastic volatility models.

Keywords: beta stochastic volatility, stochastic volatility, volatility skew, local stochastic volatility

JEL Classification: C00, G00

Suggested Citation

Sepp, Artur and Karasinski, Piotr, Beta Stochastic Volatility Model (September 22, 2012). Risk Magazine, pp. 66-71, October 2012. Available at SSRN: https://ssrn.com/abstract=2150614

Artur Sepp (Contact Author)

Quantica Capital AG ( email )

Zurich
Switzerland

HOME PAGE: http://artursepp.com

Piotr Karasinski

European Bank for Reconstruction and Development (EBRD) ( email )

One Exchange Square
London, EC2A 2EH
United Kingdom

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