GAOYUANYUAN / SVI-Volatility-Surface-Calibration

SVI volatility surface model and an example of China 50ETF option

SVI Volatility Surface

The SVI model introduced by J. Gatheral and A. Jacquier.

Content

This repo include:

• SVI model
• An improved Quasi-Explicit model
• China 50ETF option calibraiton
• Butterfly arbitrage check
• Calendar arbitrage check

Dependency

• Python 3.6+
• Numpy
• Scipy
• Pandas
• Matplotlib

Reference

[1] J. Gatheral. A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives. Global Derivatives & Risk
[2] Zeliade Systems, Quasi-explicit calibration of Gatheral's SVI model, Zeliade white paper, 2009.
[3] Gatheral J. Lecture 2: The SVI arbitrage-free volatility surface parameterization. CFM-Imperial Distinguished Lecture Series, 2015.