@article{Guo:2016:10.1137/120900320,
author = {Guo, GG and Jacquier, A and Martini, CM and Neufcourt, LN},
doi = {10.1137/120900320},
journal = {SIAM Journal on Financial Mathematics},
pages = {619--641},
title = {Generalized Arbitrage-Free SVI Volatility Surfaces},
url = {http://dx.doi.org/10.1137/120900320},
volume = {7},
year = {2016}
}

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TY  - JOUR
AB  - In this paper we propose a generalization of the recent work by Gatheral and Jacquier [J. Gatheral and A. Jacquier, Quant. Finance, 14 (2014), pp. 59--71] on explicit arbitrage-free parameterizations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee's moment formula using the recent analysis by Roper [M. Roper, Arbitrage-Free Implied Volatility Surfaces, preprint, School of Mathematics and Statistics, The University of Sydney, Sydney, New South Wales, Australia, 2010, lhttp://www.maths.usyd.edu.au/u/pubs/publist/preprints/2010/roper-9.pdf]. We further exhibit an arbitrage-free volatility surface different from Gatheral's SVI parameterization.
AU  - Guo,GG
AU  - Jacquier,A
AU  - Martini,CM
AU  - Neufcourt,LN
DO  - 10.1137/120900320
EP  - 641
PY  - 2016///
SN  - 1945-497X
SP  - 619
TI  - Generalized Arbitrage-Free SVI Volatility Surfaces
T2  - SIAM Journal on Financial Mathematics
UR  - http://dx.doi.org/10.1137/120900320
UR  - http://hdl.handle.net/10044/1/33372
VL  - 7
ER  - 

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