英文标题：
《Robust calibration and arbitrage-free interpolation of SSVI slices》
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作者：
Pierre Cohort, Jacopo Corbetta, Claude Martini and Ismail Laachir
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最新提交年份：
2019
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英文摘要：
We describe a robust calibration algorithm of a set of SSVI slices (i.e. a set of 3 SSVI parameters $\\theta, \\rho, \\varphi$ attached to each option maturity available on the market), which grants that these slices are free of Butterfly and Calendar-Spread arbitrage. Given such a set of consistent SSVI parameters, we show that the most natural interpolation/extrapolation of the parameters provides a full continuous volatility surface free of arbitrage. The numerical implementation is straightforward, robust and quick, yielding an effective, parsimonious solution to the smile problem, which has the potential to become a benchmark one.
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中文摘要：
我们描述了一组SSVI切片的稳健校准算法（即一组附加于市场上每个可用期权到期日的3个SSVI参数$\\θ、\\rho、\\varphi$），这使得这些切片不存在蝴蝶和日历价差套利。考虑到这样一组一致的SSVI参数，我们表明，参数最自然的内插/外推提供了一个完全连续的无套利波动率曲面。数值实现简单、健壮、快速，为微笑问题提供了一个有效、节约的解决方案，有可能成为一个基准。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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