Generalized arbitrage-free SVI volatility surfaces (Q2819096)
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scientific article; zbMATH DE number 6630541
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Generalized arbitrage-free SVI volatility surfaces |
scientific article; zbMATH DE number 6630541 |
Statements
28 September 2016
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SVI volatility surface
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calendar spread arbitrage
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butterfly arbitrage
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static arbitrage
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Generalized arbitrage-free SVI volatility surfaces (English)
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0.913118302822113
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0.8977317214012146
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0.8399388790130615
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0.7902612090110779
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