Generalised Arbitrage-Free SVI Volatility Surfaces

In this article we propose a generalisation of the recent work of Gatheral-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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Year of publication:	2016
Authors:	Guo, Gaoyue
Other Persons:	Jacquier, Antoine (Jack) (contributor) ; Martini, Claude (contributor) ; Neufcourt, Leo (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Arbitrage Pricing \| Arbitrage pricing

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Extent:	1 Online-Ressource (20 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 26, 2012 erstellt
Other identifiers:	10.2139/ssrn.2167263 [DOI]
Classification:	G12 - Asset Pricing ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013007851