Year: 2021
Type: preprint
Abstract: The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently described. It requires in general a numerical minimization of 2 functions altogether with a few root finding procedures. We study here the case of some sub-SVIs (all with 3 parameters): the Symmetric SVI, the Vanishing Upward/Downward SVI, and SSVI, for which we provide an explicit domain, with no numerical procedure required.
Authors: Martini, Claude, Mingone, Arianna
Institution: École Polytechnique
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3167668653