منابع مشابه
Arbitrage-free SVI volatility surfaces
In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility smile in such a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI volatility surfaces with a simple closed-form representation. We demonstrate the high quality of typical SVI fits with a numerical example using recent SPX optio...
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In this article we propose a generalisation of the recent work of Gatheral-Jacquier [11] on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee’s moment formula using the recent analysis by Roper [18]. We further exhibit an arbitrage-free volatility surface different from Gatheral’s SVI parameterisa...
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ژورنال
عنوان ژورنال: Poznańskie Studia Slawistyczne
سال: 2013
ISSN: 2084-3011
DOI: 10.14746/pss.2013.5.14