Generalized Arbitrage-Free SVI Volatility Surfaces

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

zbMATH Keywords

static arbitragebutterfly arbitragecalendar spread arbitrageSVI volatility surface

Mathematics Subject Classification ID

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

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

Cites Work

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• On refined volatility smile expansion in the Heston model

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