Generalized arbitrage-free SVI volatility surfaces

DOI10.1137/120900320MaRDI QIDQ2819096zbMATH OpenOpenAlexFDO

Authors Gaoyue Guo, Antoine Jacquier, Claude Martini, Leo Neufcourt

Publication date 28 September 2016

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1210.7111

zbMATH Keywords

butterfly arbitragecalendar spread arbitragestatic arbitrageSVI volatility surface

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Abstract: In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee's moment formula using the recent analysis by Roper. We further exhibit an arbitrage-free volatility surface different from Gatheral's SVI parameterisation.

Recommendations

• Arbitrage-free SVI volatility surfaces
• On asymptotically arbitrage-free approximations of the implied volatility
• No arbitrage global parametrization for the eSSVI volatility surface
• No arbitrage SVI
• Smooth and bid-offer compliant volatility surfaces under general dividend streams

Cites work

• Analysis of continuous strict local martingales via \(h\)-transforms
• Arbitrage-free smoothing of the implied volatility surface
• Arbitrage-free SVI volatility surfaces
• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
• Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
• Can the implied volatility surface move by parallel shifts?
• Comparison results for stochastic volatility models via coupling
• Computing the implied volatility in stochastic volatility models
• Implied volatility in strict local martingale models
• Local martingales, bubbles and option prices
• On refined volatility smile expansion in the Heston model
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Put-call symmetry: extensions and applications
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES

Cited in

(12)

• Smooth and bid-offer compliant volatility surfaces under general dividend streams
• Arbitrage-free SVI volatility surfaces
• Moving least squares for arbitrage-free price and volatility surfaces
• Arbitrage-free smoothing of the implied volatility surface
• Shapes of implied volatility with positive mass at zero
• Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles
• No arbitrage SVI
• Perturbation analysis of sub/super hedging problems
• No arbitrage global parametrization for the eSSVI volatility surface
• The log‐moment formula for implied volatility
• Volatility parametrizations with random coefficients: analytic flexibility for implied volatility surfaces
• A general moment formula

This page was built for publication: Generalized arbitrage-free SVI volatility surfaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2819096)