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No arbitrage global parametrization for the eSSVI volatility surface

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  • A. Mingone

Abstract

This article describes a global and arbitrage-free parametrization of the eSSVI implied volatility surfaces introduced by Hendriks and Martini [The extended SSVI volatility surface. J. Comput. Finance, 2019, 22, 25–39]. A calibration of such surfaces has already been proposed by the quantitative research team at Zeliade Systems [Cohort et al., Robust calibration and arbitrage-free interpolation of SSVI slices. Decisions Econ. Finance, 2019, 42, 665–677], but the calibration algorithm is sequential in expiries (one maturity is calibrated after the other), lacking a global view on the surface. The alternative calibration suggested in this article targets all maturities at once and always guarantees an arbitrage-free fit of market data.

Suggested Citation

  • A. Mingone, 2022. "No arbitrage global parametrization for the eSSVI volatility surface," Quantitative Finance, Taylor & Francis Journals, vol. 22(12), pages 2205-2217, December.
    • Handle: RePEc:taf:quantf:v:22:y:2022:i:12:p:2205-2217
    DOI: 10.1080/14697688.2022.2117076
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    Cited by:

    1. Lukas Gonon & Antoine Jacquier & Ruben Wiedemann, 2024. "Operator Deep Smoothing for Implied Volatility," Papers 2406.11520, arXiv.org, revised Oct 2024.
    2. Shuzhen Yang & Wenqing Zhang, 2023. "Fixed-point iterative algorithm for SVI model," Papers 2301.07830, arXiv.org.

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