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Arbitrage-free SVI volatility surfaces
File(s)
1204.0646v4.pdf (4.57 MB)
Accepted version
Author(s)
Gatheral, J
Jacquier, A
Type
Journal Article
Date Issued
2014-01-02
URI
DOI
ISSN
1469-7688
Publisher
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
Start Page
59
End Page
71
Journal / Book Title
QUANTITATIVE FINANCE
Volume
14
Issue
1
Copyright Statement
© 2013 The Authors
License URL
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000328133900005&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Subjects
Social Sciences
Science & Technology
Physical Sciences
Business, Finance
Economics
Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
Business & Economics
Mathematics
Mathematical Methods In Social Sciences
Volatility smile fitting
Volatility surfaces
Arbitrage pricing
Arbitrage relationship
Financial engineering
Financial mathematics
C60
C63
G12
G13
G
IMPLIED VOLATILITY
PRICES
q-fin.PR
q-fin.PR
91G60
Finance
01 Mathematical Sciences
14 Economics
15 Commerce, Management, Tourism and Services
Publication Status
Published