Arbitrage-Free SVI Volatility Surfaces

In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility smile 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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Year of publication:	2014
Authors:	Gatheral, Jim
Other Persons:	Jacquier, Antoine (Jack) (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Arbitrage Pricing \| Arbitrage pricing

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Extent:	1 Online-Ressource (27 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Quantitative Finance, Vol. 14, No. 1, 59-71, 2014 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 17, 2013 erstellt
Other identifiers:	10.2139/ssrn.2033323 [DOI]
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; C60 - Mathematical Methods and Programming. General ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013066295