Explicit no arbitrage domain for sub-SVIs via reparametrization
نویسندگان
چکیده
The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently described. It requires in general a numerical minimization 2 functions altogether with few root finding procedures. We study here case some sub-SVIs (all 3 parameters): Symmetric SVI, Vanishing Upward/Downward and SSVI, which we provide an explicit domain, procedure required.
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2021
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.3860011