Arbitrage-free SVI volatility surfaces

Jim Gatheral and Antoine Jacquier ()

Papers from arXiv.org

Abstract: In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility surface 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.

Date: 2012-04, Revised 2013-03
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1204.0646

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