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Arbitrage-Free SVI Volatility Surfaces · Study

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PreprintArbitrage-Free SVI Volatility Surfaces

Jim Gatheral2012

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Preprintgreen2012

Arbitrage-Free SVI Volatility Surfaces

Jim Gatheral · Antoine Jacquier

33 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

2007Brownian Motion and Stochastic Calculus 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1978Prices of State-Contingent Claims Implicit in Option Prices 1998Brownian Motion and Stochastic Calculus 2002Stochastic Finance: An Introduction in Discrete Time 2006The Volatility Surface: A Practitioner's Guide

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2017Forecasting the Distribution of Option Returns

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2013Arbitrage-free SVI volatility surfacesarticle · 9 shared references 2016Generalized Arbitrage-Free SVI Volatility Surfacesarticle · 6 shared references 2009Arbitrage-free smoothing of the implied volatility surfacearticle · 5 shared references 2020Detecting and Repairing Arbitrage in Traded Option Pricesarticle · 5 shared references 19965 Stochastic volatilitychapter · 4 shared references 2010The Skorokhod Embedding Problem and Model-Independent Bounds for Option Priceschapter · 4 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageit

Citations33

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2033323

openalex_workW2139606740

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