Initial Guesses for SVI Calibration

16 Pages Posted: 27 Sep 2014  

Fabien Le Floc'h

Calypso Technology; Independent

Date Written: September 26, 2014

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.

Keywords: SVI, calibration, implied volatility, finance

Suggested Citation

Le Floc'h, Fabien, Initial Guesses for SVI Calibration (September 26, 2014). Available at SSRN: https://ssrn.com/abstract=2501898 or http://dx.doi.org/10.2139/ssrn.2501898

Fabien Le Floc'h (Contact Author)

Calypso Technology ( email )

106 rue de la Boetie
Paris, 75008
France

Independent ( email )

France

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