SVI fit

Fits a SVI model for the given smile as defined by strikes and their respective variances. Time to maturity should also be provided for the non-arbitrage restriction.

Usage

svi_fit(variance, spot, strike, time, rate, yield = 0, initial_guess = NULL)

Arguments

variance

variances for the given strikes

spot

underlying spot price

strike

options strikes

time

time to maturity in years

rate

risk free rate

yield

yield rate

initial_guess

Initial guess used in the optimization process

Value

A list with the SVI model parameters a, b, x, m, rho and sigma.

See also

svi_var for SVI model variance calculation