Generalized Arbitrage-Free SVI Volatility Surfaces
File(s)
Published version
Author(s)
Guo, GG
Jacquier, A
Martini, CM
Neufcourt, LN
Type
Journal Article
Abstract
In this paper we propose a generalization of the recent work by Gatheral and Jacquier [J. Gatheral and A. Jacquier, Quant. Finance, 14 (2014), pp. 59--71] on explicit arbitrage-free parameterizations 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 [M. Roper, Arbitrage-Free Implied Volatility Surfaces, preprint, School of Mathematics and Statistics, The University of Sydney, Sydney, New South Wales, Australia, 2010, ŭlhttp://www.maths.usyd.edu.au/u/pubs/publist/preprints/2010/roper-9.pdf]. We further exhibit an arbitrage-free volatility surface different from Gatheral's SVI parameterization.
Date Issued
2016-09-15
Date Acceptance
2016-05-27
Citation
SIAM Journal on Financial Mathematics, 2016, 7 (1), pp.619-641
ISSN
1945-497X
Publisher
Society for Industrial and Applied Mathematics
Start Page
619
End Page
641
Journal / Book Title
SIAM Journal on Financial Mathematics
Volume
7
Issue
1
Copyright Statement
Published by SIAM under the terms of the Creative Commons 4.0 license
License URL
Sponsor
Engineering & Physical Science Research Council (EPSRC)
Grant Number
EP/M008436/1
Subjects
Applied Mathematics
Publication Status
Published