Leo Neufcourt

Columbia University

3022 Broadway

New York, NY 10027

United States

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Scholarly Papers (1)

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Generalised Arbitrage-Free SVI Volatility Surfaces

Number of pages: 20 Posted: 27 Oct 2012 Last Revised: 28 May 2016
Ecole Polytechnique, Paris, Imperial College London, Zeliade Systems and Columbia University
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Citation 9

Abstract:

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SVI volatility surface, calendar spread arbitrage, butterfly arbitrage, static arbitrage