The aim of this article is to address the methodology behind de-arbitraging a realistic volatility surface and stressing it without adding arbitrages. We derive from basic principles the constraints which the changes on the strike and the tenor axis must satisfy in order to make a volatility...

The aim of this article is to introduce a new parametrization of the implied volatility surface (IVP), which builds on the gSVI methodology recently introduced but incorporates novel features like a bid-ask model and the methodology behind de-arbitraging a volatility surface and stressing it...