No arbitrage global parametrization for the eSSVI volatility surface
Mathematical Finance
2022-04-04 v1
Abstract
The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has already been proposed by the quantitative research team at Zeliade in 2019, but it is sequential in expiries and lacks of a global view on the surface. The alternative calibration suggested in this article is faster and always guarantees an arbitrage-free fit of market data.
Cite
@article{arxiv.2204.00312,
title = {No arbitrage global parametrization for the eSSVI volatility surface},
author = {Arianna Mingone},
journal= {arXiv preprint arXiv:2204.00312},
year = {2022}
}