2022/04/01 by Mingone, Arianna
#91G60 #FOS: Economics and business #Mathematical Finance (q-fin.MF)
paper · doi:10.48550/arxiv.2204.00312
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 already been proposed by the quantitative research team at Zeliade in 2019, but it is sequential in expiries and lacks of a global view on the surface. The alternative calibration suggested in this article is faster and always guarantees an arbitrage-free fit of market data.