Arbitrage-free SVI volatility surfaces (Q2879012)
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scientific article; zbMATH DE number 6340753
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Arbitrage-free SVI volatility surfaces |
scientific article; zbMATH DE number 6340753 |
Statements
Arbitrage-free SVI volatility surfaces (English)
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5 September 2014
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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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0.9761915
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0.90766627
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0.90648174
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0.88458884
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0.8827462
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0.8751807
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0.86546683
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0.86467165
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0.8644289
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