The Extended SSVI Volatility Surface

20 Pages Posted: 22 May 2017

See all articles by Sebas Hendriks

Sebas Hendriks

Delft University of Technology; Zeliade Systems

Claude Martini

Zeliade Systems

Date Written: May 20, 2017

Abstract

We extend Gatheral and Jacquier SSVI volatility surface parameterisation by making the correlation maturity-dependent, obtaining necessary and sucient conditions for no calendar-spread arbitrage. Parametric families for the correlation are provided for which those conditions are explicit. This extension of SSVI typically increases the calibration accuracy for short maturities, and may also be more robust in stressed market conditions.

Keywords: volatility smile, volatility surface, no-arbitrage

Suggested Citation

Hendriks, Sebas and Martini, Claude, The Extended SSVI Volatility Surface (May 20, 2017). Available at SSRN: https://ssrn.com/abstract=2971502 or http://dx.doi.org/10.2139/ssrn.2971502

Sebas Hendriks (Contact Author)

Delft University of Technology ( email )

Stevinweg 1
Stevinweg 1
Delft, 2628 CN
Netherlands

Zeliade Systems ( email )

Paris
France

Claude Martini

Zeliade Systems ( email )

Paris
France

HOME PAGE: http://www.zeliade.com

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