Parametric modeling of implied smile functions: a generalized SVI model

Bo Zhao () and Stewart Hodges ()

Review of Derivatives Research, 2013, vol. 16, issue 1, 53-77

Abstract: 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. Copyright Springer Science+Business Media, LLC 2013

Keywords: Implied volatility; Parametric model; Kummer function; C02; C60; G13 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s11147-012-9077-x

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