Explicit no arbitrage domain for sub-SVIs via reparametrization
Mathematical Finance
2021-06-07 v1
Abstract
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 of 2 functions altogether with a few root finding procedures. We study here the case of some sub-SVIs (all with 3 parameters): the Symmetric SVI, the Vanishing Upward/Downward SVI, and SSVI, for which we provide an explicit domain, with no numerical procedure required.
Cite
@article{arxiv.2106.02418,
title = {Explicit no arbitrage domain for sub-SVIs via reparametrization},
author = {Claude Martini and Arianna Mingone},
journal= {arXiv preprint arXiv:2106.02418},
year = {2021}
}