Robust calibration and arbitrage-free interpolation of SSVI slices
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DOI: 10.1007/s10203-019-00249-8
Abstract: We describe a robust calibration algorithm of a set of SSVI maturity slices (i.e., a set of 3 SSVI parameters $$\theta _t, \rho _t, \varphi _t$$θt,ρt,φt attached to each option maturity t available on the market),… read more here.
Keywords: ssvi; calibration arbitrage; arbitrage; robust calibration ... See more keywords