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...

We add some rigour to the work of Henry-Labordère (2009; Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing (London and New York: Chapman & Hall)), Lewis (2007; Geometries and Smile Asymptotics for a Class of Stochastic Volatility Models. Available at <ext-link ext-link-type="uri" xmlns:xlink="http://www.w3.org/1999/xlink"...</ext-link>

We study here the large-time behaviour of all continuous affine stochastic volatility models [in the sense of Keller-Ressel (Math Finan 21(1):73–98, <CitationRef CitationID="CR14">2011</CitationRef>)] and deduce a closed-form formula for the large-maturity implied volatility smile. We concentrate on (rescaled) strikes around the money,...</citationref>