Parametric modeling of implied smile functions: a generalized SVI model

DOI10.1007/s11147-012-9077-xzbMath1269.91101OpenAlexW3124539363MaRDI QIDQ2393161

Stewart D. Hodges, Bo Zhao

Publication date: 7 August 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-012-9077-x

zbMATH Keywords

parametric modelimplied volatilityKummer function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Oil futures volatility smiles in 2020: why the Bachelier smile is flatter ⋮ Option-implied information: What's the vol surface got to do with it?

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