Robust calibration and arbitrage-free interpolation of SSVI slices
Jacopo Corbetta, Pierre Cohort, Ismail Laachir, Claude Martini
| Year of publication: |
2019
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|---|---|
| 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
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| Subject: | SVI | Volatility surface | Calibration | Arbitrage free interpolation | Volatilität | Volatility | Arbitrage | Arbitrage Pricing | Arbitrage pricing | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-019-00249-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012127308