The Extended SSVI Volatility Surface
20 Pages Posted: 22 May 2017
Date Written: May 20, 2017
We extend Gatheral and Jacquier SSVI volatility surface parameterisation by making the correlation maturity-dependent, obtaining necessary and sucient conditions for no calendar-spread arbitrage. Parametric families for the correlation are provided for which those conditions are explicit. This extension of SSVI typically increases the calibration accuracy for short maturities, and may also be more robust in stressed market conditions.
Keywords: volatility smile, volatility surface, no-arbitrage
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