Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles

DOI10.1137/20M136089XzbMath1465.91112arXiv1909.10272OpenAlexW3156326479MaRDI QIDQ4988551

Claude Martini, Antoine Jacquier, Mehdi El Amrani

Publication date: 17 May 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.10272

zbMATH Keywords

bubblesimplied volatilityabsence of arbitrageSSVI

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• Market completion using options
• A market model for stochastic implied volatility

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