Generalized Arbitrage-Free SVI Volatility Surfaces
Work
Year: 2016
Type: article
Abstract: In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the not... more
Institutions Imperial College London, Columbia University
Cites: 24
Cited by: 23
Related to: 10
FWCI: 2.924
Citation percentile (by year/subfield): 92.51
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: hybrid
Grant ID EP/M008436/1