Robust calibration and arbitrage-free interpolation of SSVI slices

DOI10.1007/s10203-019-00249-8zbMath1431.91390arXiv1804.04924OpenAlexW2964348725WikidataQ127828841 ScholiaQ127828841MaRDI QIDQ2292060

Jacopo Corbetta, Pierre Cohort, Ismail Laachir, Claude Martini

Publication date: 31 January 2020

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.04924

zbMATH Keywords

calibrationvolatility surfacearbitrage free interpolationSVI

Mathematics Subject Classification ID

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

Related Items (5)

No Arbitrage SVI ⋮ Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes ⋮ No arbitrage global parametrization for the eSSVI volatility surface ⋮ Volatility and volatility-linked derivatives: estimation, modeling, and pricing ⋮ Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles

Cites Work

• Arbitrage-free SVI volatility surfaces
• Asymptotics of Implied Volatility far from Maturity
• Unnamed Item

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