Arbitrage-free SVI volatility surfaces

DOI10.1080/14697688.2013.819986zbMath1308.91187arXiv1204.0646OpenAlexW3126103175MaRDI QIDQ2879012

Antoine Jacquier, Jim Gatheral

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.0646

zbMATH Keywords

arbitrage pricingvolatility surfacesvolatility smile fittingbutterfly arbitragestochastic volatility inspired parametrisation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic particle methods (65C35)

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