Year: 2011
Type: article
Abstract: The stochastic volatility inspired or SVI parameterization of the implied volatility surface was originally devised at Merrill Lynch in 1999. This parameterization has two key properties that have ...
Source: Quantitative Finance
Authors: Jim Gatheral, Antoine Jacquier
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2160930535