Estimation of Stochastic Volatility Models for the Purpose of Option Pricing

In this paper we review the recent advances on the estimation of stochastic volatility (henceforth SV) models for the purpose of option pricing. For SV models, it is impossible to estimate the risk-neutral parameters using only the data from the underlying asset pricing process. We focus on the recent attempts which try to exploit optimally the information in the panel data of options and the information in the underlying fundamental. The fulllment of this goal, which we have not yet fully accomplished, yields risk neutral parameters as well as the temporal dynamics under both measures.