Matlab
SVI 參數化:簡單範例不起作用
我正在嘗試使用 SVI 模型。我使用以下腳本:
a = 0.05; b = 0.3; rho = -0.35; m = 0; sigma = 0.15; S0 = 100; r = 0.033; q = 0.0022; T = 0.26; F0 = S0*exp((r-q)*T); k = (50:0.5:120); iv = a+b*(rho*(k-m)+((k-m).^2+sigma^2).^(1/2)); plot(log(k/F0),(iv/T).^(1/2));
這裡有什麼問題?它在簡單地擬合參數化時不起作用。
a = 0.05; b = 0.3; rho = -0.35; m = 0; sigma = 0.15; S0 = 100; r = 0.033; q = 0.0022; T = 0.26; F0 = S0*exp((r-q)*T); k = (50:0.5:120); x=log(k/F0); iv = a+b*(rho*(x-m)+((x-m).^2+sigma^2).^(1/2)); plot(x,(iv/T).^(1/2));