Generalised arbitrage-free SVI volatility surfaces
AbstractIn 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1210.7111.
Date of creation: Oct 2012
Date of revision: Oct 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-11-03 (All new papers)
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- Sylvain Corlay, 2013. "B-spline techniques for volatility modeling," Papers 1306.0995, arXiv.org, revised May 2014.
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