# SVI model and Greeks calculation

The option pricing model I am referring to is this one:

I calibrated that model by using a set of European options, now I have a set of 5 parameters per maturity that allow to draw volatility skews.

As these curves can be used to price options, I am looking for the best way to get Greeks from that: is it possible to use SVI's output to have Greeks that are more accurate and "realistic" than Black & Scholes' ones?

• Your question is unclear. Greeks wrt to what instrument? – Quantuple Aug 12 '16 at 15:31
• Greeks? You mean European option's price sensitivity with respect to the parameters for the SVI surface? – Mats Lind Aug 12 '16 at 17:57
• Now it should be quite better... – Lisa Ann Aug 13 '16 at 8:49
• 5 params per matutity, so it is not the raw (maturity independent) SVI parametrisation then? What of the parametrisations in the paper are you using? – Mats Lind Aug 14 '16 at 10:51

The SVI is simply a function (empirically fit to the data) which given a maturity and a strike price K, computes a BS implied volatility $\sigma$. Once you have that implied volatility you can plug it into a Black Scholes routine which can compute the BS price and the Black Scholes greeks.