Generalized Arbitrage-Free SVI Volatility Surfaces
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Publication:2819096
DOI10.1137/120900320zbMath1410.91451arXiv1210.7111OpenAlexW3122993983MaRDI QIDQ2819096
Léo Neufcourt, Antoine Jacquier, Gaoyue Guo, Claude Martini
Publication date: 28 September 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.7111
Related Items (5)
No Arbitrage SVI ⋮ Perturbation analysis of sub/super hedging problems ⋮ The log‐moment formula for implied volatility ⋮ Shapes of Implied Volatility with Positive Mass at Zero ⋮ Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles
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