The Extended SSVI Volatility Surface

We extend Gatheral and Jacquier SSVI volatility surface parameterisation by making the correlation maturity-dependent, obtaining necessary and su cient conditions for no calendar-spread arbitrage. Parametric families for the correlation are provided for which those conditions are explicit. This extension of SSVI typically increases the calibration accuracy for short maturities, and may also be more robust in stressed market conditions

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Year of publication:	2017
Authors:	Hendriks, Sebas
Other Persons:	Martini, Claude (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory

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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 May 20, 2017 erstellt
Other identifiers:	10.2139/ssrn.2971502 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012955986