No Arbitrage SVI

DOI10.1137/20M1351060zbMath1483.91238arXiv2005.03340OpenAlexW3023887377MaRDI QIDQ5065089

Claude Martini, Arianna Mingone

Publication date: 18 March 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.03340

zbMATH Keywords

calibrationvolatility smileimplied volatilitySVIarbitrage-free parametrization

Mathematics Subject Classification ID

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

Related Items (3)

Simulation of Arbitrage-Free Implied Volatility Surfaces ⋮ No arbitrage global parametrization for the eSSVI volatility surface ⋮ The log‐moment formula for implied volatility

Cites Work

• Analytically tractable stochastic stock price models.
• A Black-Scholes inequality: applications and generalisations
• Robust calibration and arbitrage-free interpolation of SSVI slices
• Generalized Arbitrage-Free SVI Volatility Surfaces
• Arbitrage-free SVI volatility surfaces
• Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
• Fitting Local Volatility

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