Explicit no arbitrage domain for sub-SVIs via reparametrization

Claude Martini and Arianna Mingone

Papers from arXiv.org

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.

Date: 2021-06
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