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1 result for “sub-SVIs”

Explicit no arbitrage domain for sub-SVIs via reparametrizationq-fin.MF

We simplify SVI volatility smile constraints for three sub-SVIs without numerical methods.

problem No arbitrage constraints for SVI volatility smiles.

method Explicit domain derivation for sub-SVIs without numerical procedures.

result Explicit no arbitrage domains for Symmetric SVI, Vanishing Upward/Downward SVI, and SSVI.

SVI volatility volatility smile no arbitrage reparametrization sub-SVIs

2021-06-04abs ↗pdf ↗