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q-fin.MF2022
Smiles in delta
Arianna Mingone
Fukasawa introduced in [Fukasawa, Math Financ, 2012] two necessary conditions for no butterfly arbitrage which require that the and functions of the Black-Scholes formu…
q-fin.MF2022
No arbitrage global parametrization for the eSSVI volatility surface
Arianna Mingone
The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has alread…