2021/06/04 by Claude Martini, Martini, Claude, Arianna Mingone +1
Economics, Econometrics and Finance · #91G60 #FOS: Economics and business #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Monetary Policy and Economic Impact #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2106.02418
openalex publication_date 2021/06/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The no Butterfly arbitrage domain of Gatheral SVI 5-parameters formula for the volatility smile has been recently described. It requires in general a numerical minimization of 2 functions altogether with a few root finding procedures. We study here the case of some sub-SVIs (all with 3 parameters): the Symmetric SVI, the Vanishing Upward/Downward SVI, and SSVI, for which we provide an explicit domain, with no numerical procedure required.