Review of Derivatives Research

, Volume 16, Issue 1, pp 53–77 | Cite as

Parametric modeling of implied smile functions: a generalized SVI model



In this paper, we propose a parametric model of implied variance which is a natural generalization of the SVI model. The model improves the SVI by allowing more flexibly the negative curvature in the tails which is justified both theoretically and empirically. The fitting of the model, comparing with the other competing parametric models (SVI, SABR), to the implied volatility smile and the risk neutral density function is tested on SPX options.


Implied volatility Parametric model Kummer function 

JEL Classification

C02 C60 G13 


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Copyright information

© Springer Science+Business Media, LLC 2012

Authors and Affiliations

  1. 1.Cass Business SchoolLondonUK

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