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U. Wystup

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Sep 2026

How to Start a Stochastic Volatility Process

The standard approach to using a stochastic volatility (SV) model for valuation of a derivative is to assume one deterministic level of volatility at time zero and define how volatility evolves over time as a random process. If this process is continuous, after a short time the stochastic volatility will still be quite...

U. Wystup · Wilmott Magazine · 0 citations