---
title: Calibration of Stochastic Volatility Model
url: https://www.ml-quant.com/papers/repec/wly-jfutmk-v-44-y-2024-i-1-p-75-102/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:wly:jfutmk:v:44:y:2024:i:1:p:75-102
source_url: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fdoi.org%2F10.1002%2Ffut.22461%3Bh%3Drepec%3Awly%3Ajfutmk%3Av%3A44%3Ay%3A2024%3Ai%3A1%3Ap%3A75-102
featured: 2024-01-09
citations: unknown
topic: Derivatives & Volatility
---


# Calibration of Stochastic Volatility Model

A partially specified stochastic volatility model, calibrated using the dynamic programming principle and the Heston model, can predict future trends for synthetic and S&P500 data.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=https%3A%2F%2Fdoi.org%2F10.1002%2Ffut.22461%3Bh%3Drepec%3Awly%3Ajfutmk%3Av%3A44%3Ay%3A2024%3Ai%3A1%3Ap%3A75-102
- Identifier: RePEc:wly:jfutmk:v:44:y:2024:i:1:p:75-102
- Released: 2024-01-09
- First featured: Quant Letter No. 32 (2024-01-09): https://www.ml-quant.com/issues/2024-01-09/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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