Arbitrage-free SVI volatility surfaces
AbstractIn 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1204.0646.
Date of creation: Apr 2012
Date of revision: Mar 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-10 (All new papers)
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