We consider the stochastic volatility model
proposed by Moretto, Pasquali and Trivellato (2004) (MPT for short) and
make a numerical analysis of various aspects of this model such as
sensitivity to different parameters and the effects on option prices.
This analysis highlights that the model is sufficiently general and can
cover a wide range of cases. Another foundamental aspect, here
discussed, is the calibration of the model, in fact it is important to
know the parameter values which give a good approximation of option
market prices.
