Arbitrage-free SVI volatility surfaces
Jim Gatheral and
Antoine Jacquier ()
Quantitative Finance, 2014, vol. 14, issue 1, 59-71
In this article, we show how to calibrate the widely used SVI parameterization of the implied volatility smile in such a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI volatility surfaces with a simple closed-form representation. We demonstrate the high quality of typical SVI fits with a numerical example using recent SPX options data.
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Working Paper: Arbitrage-free SVI volatility surfaces (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:14:y:2014:i:1:p:59-71
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