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Initial Guesses for SVI Calibration

Authors: Fabien Le Floc'h;

Initial Guesses for SVI Calibration

Abstract

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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Powered by OpenAIRE graph
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
Average
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