大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Arbitrage-free SVI volatility surfaces

Jim Gatheral (Baruch College, The City University of New York)

1. ホーム
2. セミナー・集中講義
3. セミナー
4. Arbitrage-free SVI volatility surfaces

大阪大学 金融・保険セミナーシリーズ 第43回(CSFI-CRESTジョイントセミナー)

Arbitrage-free SVI volatility surfaces

Jim Gatheral (Baruch College, The City University of New York)

In this talk we show how to calibrate the widely-used SVI parameterization of the implied volatility surface in such a way as to guarantee the absence of static arbitrage. In particular, we exhibit a large class of arbitrage-free SVI volatility surfaces with a simple closed-form representation. We demonstrate the high quality of typical SVI fits with a numerical example using recent SPX options data.