The Extended SSVI Volatility Surface-Reference-Cited by-同舟云学术

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The Extended SSVI Volatility Surface

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Hendriks Sebas,Martini Claude

Publisher

Elsevier BV

Reference3 articles.

1. Arbitrage-free svi volatility surfaces;J Gatheral;Quantitative Finance,2014

2. Generalized arbitrage-free svi volatility surfaces;G Guo;SIAM Journal on Financial Mathematics,2016

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A Note about Characterization of Calendar Spread Arbitrage in eSSVI Surfaces;Theoretical Economics Letters;2023

2. Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models;Quantitative Finance;2020-10-26

3. Robust calibration and arbitrage-free interpolation of SSVI slices;Decisions in Economics and Finance;2019-05-23

4. Deep Learning Volatility;SSRN Electronic Journal;2019

5. Turbocharging Monte Carlo pricing for the rough Bergomi model;Quantitative Finance;2018-04-30

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