axel vogt initial guess for SVI?

LesleYLyu · January 7th, 2015, 1:42 am

Hello, sorry for this simple question.I went through all threads related SVI parameter fitting, some people suggest using a smart initial guess from axel vogt`s paper, but unfortunately I can`t find more information. It would be great if you could point out where I can find this paper(name,link, etc.)Cheers

BramJ · January 7th, 2015, 12:34 pm

There are a few threads on nuclearphynance.com in which he participated and that will have useful information

LesleYLyu · January 8th, 2015, 2:08 am

Thanks BramJ!Nice forum, really appreciate. I've found a interesting thread and will dig into itCheers