Is there a way to compute a a Variance Swap Fair Strike directly from the SVI implied volatility parametrization?

Asked May 25 '23 at 18:32

Active May 25 '23 at 19:33

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Suppose I have fitted Gatheral's SVI parametrization to an equity implied volatility surface. From these fitted parameters, is there a a method to directly compute the fair strike of a variance swap from the SVI parameters without having to compute a replicating strip of options?

edited May 25 '23 at 19:33

asked May 25 '23 at 18:32

Alex

Is there a way to compute a a Variance Swap Fair Strike directly from the SVI implied volatility parametrization?

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