Fixed-point iterative algorithm for SVI model

Shuzhen Yang and Wenqing Zhang

Papers from arXiv.org

Abstract: 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.

Date: 2023-01
New Economics Papers: this item is included in nep-cmp and nep-ecm
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