Generalised arbitrage-free SVI volatility surfaces
Pricing of Securities
2018-06-05 v4 Computational Finance
Abstract
In this article we propose a generalisation of the recent work of Gatheral and Jacquier 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. We further exhibit an arbitrage-free volatility surface different from Gatheral's SVI parameterisation.
Cite
@article{arxiv.1210.7111,
title = {Generalised arbitrage-free SVI volatility surfaces},
author = {Gaoyue Guo and Antoine Jacquier and Claude Martini and Leo Neufcourt},
journal= {arXiv preprint arXiv:1210.7111},
year = {2018}
}
Comments
20 pages, 4 figures. Corrected some typos