
doi: 10.2139/ssrn.2501898
Calibrating the SVI implied variance parameterization is commonly done by using a local minimizer on some initial guess. This paper firstly describes various alternative initial guess methods, then studies more specifically the case of nearly affine smiles common for medium to long maturity equity options, and finally evaluates the robustness of the various methods on SVI, SABR and raw market data inputs.
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