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Fixed-point iterative algorithm for SVI model

delete2025-06-01
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PRE
AI
S
Shuzhen Yang *
W
Wenqing Zhang
DOI：10.1016/j.frl.2025.107378delete
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Abstract

Abstract

En 中文
The stochastic volatility inspired (SVI) model is widely used to fit the implied variance smile. Currently, most optimization algorithms for SVI models are strongly dependent on the input starting point. In this study, we develop an efficient iterative algorithm for the SVI model based on a fixed-point least-squares optimizer, further presenting the convergence results for this novel iterative algorithm under certain condition. The experimental evaluation results of our approach using market data demonstrate the advantages of the proposed fixed-point iterative algorithm over the Quasi-explicit SVI method.
Keywords:
Iterative algorithm
Stochastic volatility
FPI-SVI algorithm
Quasi-explicit SVI

Journal

Finance Research Letters cover
Finance Research Letters
IF:
6.9
Papers:
9.0K
Citations:
2.8W

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No organization information available