Corpus ID: 152565989

The SVI implied volatility model and its calibration

@inproceedings{Aurell2014TheSI,
  title={The SVI implied volatility model and its calibration},
  author={Alexander Aurell},
  year={2014}
}
  • Alexander Aurell
  • Published 2014
  • Economics
  • The SVI implied volatility model is a parametric model for stochastic implied volatility.The SVI is interesting because of the possibility to state explicit conditions on its parameters so that the ... 
    1 Citations
    The Calibrated SSVI Method - Implied Volatility Surface Construction

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