Suppose I have fitted Gatheral's SVI parametrization to an equity implied volatility surface. From these fitted parameters, is there a a method to directly compute the fair strike of a variance swap from the SVI parameters without having to compute a replicating strip of options?
0
There are 0 answers
Related Questions in QUANTITATIVE-FINANCE
- Yield curve by liquidity premium hypothesis
- Is There an R Function that Automatically Fits the Best GARCH Model to a Time Series Data?
- using multitasking.task to accelerate combine dataframe failed
- How to round BigDecimal money calculations in Java to 2 decimal places using the best RoundingMode?
- What will happen to src [1] if it is already the first in the pine
- Data Pipeline for Quantitative Research
- How to output interest rates path with QuantLib Black Karasinski model?
- Find if the matching date exists
- R Programming: Package DEoptim Returning Inconsistent Results
- Quantlib, difficulties reconciling yield to maturity of bond cashflows
- Approach on R's quadprog constraint variables in efficient portfolio theory application
- ValueError: The truth value of a Series is ambiguous. Using function and pandas df
- Trying to Run a Candlestick Graph that runs and updates every minute
- Cumulative Returns Calculation Giving Astronomical Result
- Finding the spread of LQD ETF using Price
Related Questions in VOLATILITY
- Is There an R Function that Automatically Fits the Best GARCH Model to a Time Series Data?
- Errors in rugarch multifit output
- N-days realized variance in R
- Volatility3: AttributeError: function/symbol 'ARC4_stream_init' not found in library
- Efficient Method of Moments(EMM) for Stochastic volatility model
- How to plot a local volatility surface created with local_volatility_model taken from tensorflow quant_finance.models
- why my 3d plot of volatility surface python code is empty
- Volatility - ISF Creation - Get kernel debug info
- EGARCH estimation, Why am I getting different results?
- Can we recover a frame from a paint.exe process dump
- Is there a way to compute a a Variance Swap Fair Strike directly from the SVI implied volatility parametrization?
- ERROR: generation expression is not immutable
- GARCH model analysis using python
- How to interpolate volatility's skew using spline in Python
- Constructing annualized volatility of returns with panel data
Popular Questions
- How do I undo the most recent local commits in Git?
- How can I remove a specific item from an array in JavaScript?
- How do I delete a Git branch locally and remotely?
- Find all files containing a specific text (string) on Linux?
- How do I revert a Git repository to a previous commit?
- How do I create an HTML button that acts like a link?
- How do I check out a remote Git branch?
- How do I force "git pull" to overwrite local files?
- How do I list all files of a directory?
- How to check whether a string contains a substring in JavaScript?
- How do I redirect to another webpage?
- How can I iterate over rows in a Pandas DataFrame?
- How do I convert a String to an int in Java?
- Does Python have a string 'contains' substring method?
- How do I check if a string contains a specific word?
Popular Tags
Trending Questions
- UIImageView Frame Doesn't Reflect Constraints
- Is it possible to use adb commands to click on a view by finding its ID?
- How to create a new web character symbol recognizable by html/javascript?
- Why isn't my CSS3 animation smooth in Google Chrome (but very smooth on other browsers)?
- Heap Gives Page Fault
- Connect ffmpeg to Visual Studio 2008
- Both Object- and ValueAnimator jumps when Duration is set above API LvL 24
- How to avoid default initialization of objects in std::vector?
- second argument of the command line arguments in a format other than char** argv or char* argv[]
- How to improve efficiency of algorithm which generates next lexicographic permutation?
- Navigating to the another actvity app getting crash in android
- How to read the particular message format in android and store in sqlite database?
- Resetting inventory status after order is cancelled
- Efficiently compute powers of X in SSE/AVX
- Insert into an external database using ajax and php : POST 500 (Internal Server Error)