Generalized Arbitrage-Free SVI Volatility Surfaces
نویسندگان
چکیده
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 parameterisation.
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ورودعنوان ژورنال:
- SIAM J. Financial Math.
دوره 7 شماره
صفحات -
تاریخ انتشار 2016