Download This PaperGeneralised Arbitrage-Free SVI Volatility Surfaces
20 Pages Posted: 27 Oct 2012 Last revised: 28 May 2016
Date Written: October 26, 2012
Abstract
In this article we propose a generalisation of the recent work of Gatheral-Jacquier on explicit arbitrage-free parameterisations 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. We further exhibit an arbitrage-free volatility surface different from Gatheral's SVI parameterisation.
Keywords: SVI volatility surface, calendar spread arbitrage, butterfly arbitrage, static arbitrage
JEL Classification: G12, C63
Suggested Citation: Suggested Citation
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