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Paper detail

Fixed-point iterative algorithm for SVI model

The stochastic volatility inspired (SVI) model is widely used to fit the implied variance smile. Presently, most optimizer algorithms for the SVI model have a strong dependence on the input starting point. In this study, we develop an efficient iterative algorithm for the SVI model based on a fixed-point and least-square optimizer. Furthermore, we present the convergence results in certain situations for this novel iterative algorithm. Compared with the quasi-explicit SVI method, we demonstrate the advantages of the fixed-point iterative algorithm using simulation and market data.

preprint2023arXivOpen access
Shuzhen YangWenqing Zhang
q-fin.MF
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Shuzhen YangWenqing Zhang

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