Arbitrage-free SVI volatility surfaces

被引：99

作者：

Gatheral, Jim ^{[1
]}

Jacquier, Antoine ^{[2
]}

机构：

[1] CUNY Bernard M Baruch Coll, Dept Math, New York, NY 10010 USA

[2] Univ London Imperial Coll Sci Technol & Med, Dept Math, London, England

来源：

QUANTITATIVE FINANCE | 2014年 / 14卷 / 01期

关键词：

Volatility smile fitting; Volatility surfaces; Arbitrage pricing; Arbitrage relationship; Financial engineering; Financial mathematics; C60; C63; G12; G13; G; IMPLIED VOLATILITY; PRICES;

D O I：

10.1080/14697688.2013.819986

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this article, we show how to calibrate the widely used SVI parameterization of the implied volatility smile in such a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI volatility surfaces with a simple closed-form representation. We demonstrate the high quality of typical SVI fits with a numerical example using recent SPX options data.

引用

页码：59 / 71

页数：13

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