Robust calibration and arbitrage-free interpolation of SSVI slices
Year of publication: |
2019
|
---|---|
Authors: | Corbetta, Jacopo ; Cohort, Pierre ; Laachir, Ismail ; Martini, Claude |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 665-677
|
Subject: | SVI | Volatility surface | Calibration | Arbitrage free interpolation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Arbitrage Pricing | Arbitrage pricing | Arbitrage | Robustes Verfahren | Robust statistics |
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