No arbitrage global parametrization for the eSSVI volatility surface

DOI10.1080/14697688.2022.2117076zbMath1516.91067arXiv2204.00312MaRDI QIDQ6158384

Arianna Mingone

Publication date: 20 June 2023

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

Full work available at URL: https://arxiv.org/abs/2204.00312

zbMATH Keywords

calibrationimplied volatilityvolatility surfaceSVIarbitrage-free parametrizationeSSVI

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Related Items (1)

The log‐moment formula for implied volatility

Cites Work

• A Black-Scholes inequality: applications and generalisations
• Robust calibration and arbitrage-free interpolation of SSVI slices
• Arbitrage-free SVI volatility surfaces
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
• Detecting and Repairing Arbitrage in Traded Option Prices
• No Arbitrage SVI

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