内层OLS：Quasi-Explicit Calibration of Gatheral's SVI model - Zeliade39、#的盖思勒尔拟显的SVI模型...
去年我做了一个python的，校准50ETF期权，你也可以看看：wangys96/SVI-Volatility-Surface-Calibration...
python demo.py --imagedir=data/rgbd_dataset_freiburg3_cabinet/rgb --calib=calib/tum3.txt Running on your own data: All you need is a calibration file. Calibration files are in the form fx fy cx cy [k1 k2 p1 p2 [ k3 [ k4 k5 k6 ]]] with parameters in brackets optional. Evaluat...