Beta Stochastic Volatility Model
Risk Magazine, pp. 66-71, October 2012
19 Pages Posted: 23 Sep 2012
Date Written: September 22, 2012
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: Suggested Citation