3 citations
2 papers
q-fin.CP2018★ 3 cited
Robust calibration and arbitrage-free interpolation of SSVI slices
Pierre Cohort, Jacopo Corbetta, Claude Martini +1
We describe a robust calibration algorithm of a set of SSVI slices (i.e. a set of 3 SSVI parameters attached to each option maturity available on the market), which grant…
q-fin.PR2017
Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula
Stefano De Marco, Claude Martini
We extend the model-free formula of [Fukasawa 2012] for , where is the log-price of an asset, to functions of exponential growth. The result…