Parametric Modeling of Implied Smile Functions : A Generalized SVI Model

In this paper, we propose a parametric model of implied variance which is a natural generalization of the SVI model. The model improves the SVI by allowing more flexibly the negative curvature in the tails which is justified both theoretically and empirically. The fitting of the model, comparing with the other competing parametric models (SVI, SABR), to the implied volatility smile and the risk neutral density function is tested on SPX options

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Year of publication:	2012
Authors:	Zhao, Bo
Other Persons:	Hodges, Stewart D. (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility \| Schätztheorie \| Estimation theory

Extent:	1 Online-Ressource (30 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Review of Derivatives Research, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 16, 2011 erstellt
Classification:	C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C60 - Mathematical Methods and Programming. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013106676