Articlegreen2011

Convergence of Heston to SVI

70 citations0/0 files storedQuantitative Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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 ...

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2006The Volatility Surface: A Practitioner's Guide 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES 2002Option valuation under stochastic volatility: with mathematica code

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2011On refined volatility smile expansion in the Heston model 2016Tests of investor learning models using earnings innovations and implied volatilities 2013Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications 2012Arbitrage-Free SVI Volatility Surfaces 2020Small‐time, large‐time, and asymptotics for the Rough Heston model

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