We show that several advanced equity option models incorporating stochastic volatility can be calibrated very nicely to a realistic option surface. More specifically, we focus on the Heston Stochastic Volatility model (with and without jumps in the stock price process), the Barndorff-Nielsen-Shephard model and Lévy models with stochastic time. All these models are capable of accurately describing the marginal distribution of stock prices or indices and hence lead to almost identical European vanilla option prices. As such, we can hardly discriminate between the different processes on the basis of their smile-conform pricing characteristics. We therefore are tempted applying them to a range of exotics. However, due to the different structure in path-behaviour between these models, the resulting exotics prices can vary significantly. It motivates a further study on how to model the fine stochastic behaviour of assets over time.