Explicit No Arbitrage Domain for Sub-SVIs via Reparametrization

The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently described. It requires in general a numerical minimization of 2 functions altogether with a few root finding procedures. We study here the case of some sub-SVIs (all with 3 parameters): the Symmetric SVI, the Vanishing Upward/Downward SVI, and SSVI, for which we provide an explicit domain, with no numerical procedure required

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Year of publication:	[2021]
Authors:	Mingone, Arianna ; Martini, Claude
Publisher:	[S.l.] : SSRN
Subject:	Arbitrage \| Theorie \| Theory \| Arbitrage Pricing \| Arbitrage pricing

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Extent:	1 Online-Ressource (41 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 4, 2021 erstellt
Other identifiers:	10.2139/ssrn.3860011 [DOI]
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; C60 - Mathematical Methods and Programming. General ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013221732