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arxiv: 1210.7111 · v4 · pith:3LKZJOPFnew · submitted 2012-10-26 · 💱 q-fin.PR · q-fin.CP

Generalised arbitrage-free SVI volatility surfaces

classification 💱 q-fin.PR q-fin.CP
keywords arbitrage-freevolatilitygatheralrecentsurfacesanalysisarbitragearticle
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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 notion of arbitrage freeness and Roger Lee's moment formula using the recent analysis by Roper. We further exhibit an arbitrage-free volatility surface different from Gatheral's SVI parameterisation.

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