Generalized Arbitrage-Free SVI Volatility Surfaces

Gaoyue Guo (), Antoine Jacquier, Claude Martini and Leo Neufcourt
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Gaoyue Guo: CMAP - Centre de Mathématiques Appliquées de l'Ecole polytechnique - Inria - Institut National de Recherche en Informatique et en Automatique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Antoine Jacquier: Imperial College London
Claude Martini: Zeliade Systems
Leo Neufcourt: Columbia University [New York]

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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.

Date: 2016
Note: View the original document on HAL open archive server: https://hal.science/hal-05564337v1
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Published in SIAM Journal on Financial Mathematics, 2016, 7 (1), pp.619-641. ⟨10.1137/120900320⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05564337

DOI: 10.1137/120900320

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