Arbitrage-free SVI volatility surfaces (Q2879012)

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Arbitrage-free SVI volatility surfaces
scientific article

    Statements

    title
    Arbitrage-free SVI volatility surfaces (English)
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    author
    Jim Gatheral
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    Antoine Jacquier
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    publication date
    5 September 2014
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    zbMATH Keywords
    volatility smile fitting
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    volatility surfaces
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    arbitrage pricing
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    stochastic volatility inspired parametrisation
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    butterfly arbitrage
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    91G20
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    65C35
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    82C80
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    zbMATH DE Number
    6340753
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    OpenAlex ID
    W3126103175
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    arXiv ID
    1204.0646
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