# Performance of stochastic volatility model

#1

In the middle of designing general SDE solvers, I wonder if anyone has experience with applying volatility models in practice. In particular, since the model samples for wiener process in every time step, the number of normal step increment parameters(h_t) reach \sim 10^3 easily when the modeled period is in the scale of year, assuming each step corresponds to a day. How does such a model fare in terms of performance? Does the performance meet practical expectation?

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