福州大学学报（自然科学版）2018，Vol.46Issue(2)：169-177,9.DOI:10.7631/issn.1000-2243.16473
SVI隐含波动率模型的时间指数扩展
Time index extension of the SVI implied volatility model
摘要
Abstract
This paper improves the semi-parametric SVI model.According to the stationary square root of time rule,the logarithmic strike price is replaced with the particular combination of the logarithmic price and maturity,and also add a new parameter to adjust the combination.And on this basis a new parameter model is put forward to rebuild the implied volatility surface.It also carries some empirical analyses based on AAPL stock option.The experimental results show that the modified model is more flexible and accurate,and the parameter model has a better fitting.关键词
隐含波动率/半参数模型/SVI模型/无风险套利Key words
implied volatility/semi-parametric model/stochastic volatility inspired/arbitrage-free分类
管理科学引用本文复制引用
庄颖,吴小燕,王美清..SVI隐含波动率模型的时间指数扩展[J].福州大学学报（自然科学版）,2018,46(2):169-177,9.基金项目
福建省自然科学基金资助项目(2015J01013) （2015J01013）
