Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
Year of publication: |
2023
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Authors: | Martini, Claude ; Mingone, Arianna |
Published in: |
The journal of computational finance : JFC. - London : Infopro Digital Risk, ISSN 1755-2850, ZDB-ID 2091445-3. - Vol. 27.2023, 2, p. 1-32
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Subject: | implied volatility | volatility smile | calibration | surface stochastic volatility inspired (SSVI) model | arbitrage free | long-term Heston SVI mode | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Arbitrage |
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