IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v22y2022i12p2205-2217.html
   My bibliography  Save this article

No arbitrage global parametrization for the eSSVI volatility surface

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2022.2117076
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2022.2117076?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.
    3. Nicola F. Zaugg & Leonardo Perotti & Lech A. Grzelak, 2024. "Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces," Papers 2411.04041, arXiv.org, revised Nov 2024.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:22:y:2022:i:12:p:2205-2217. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.