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No - no market maker is using stochastic volatility. (L)SV is only used for exotics. Market makers use a tricked out Black Scholes where the 'secret sauce' is
by mcakes 1y ago
No - no market maker is using stochastic volatility. (L)SV is only used for exotics.
Market makers use a tricked out Black Scholes where the 'secret sauce' is in how you apply the chain rule when you calculate the greeks.
- rybosworld 1y agoWould be curious to know more about this.