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Robust calibration and arbitrage-free interpolation of SSVI slices

Crossref DOI link: https://doi.org/10.1007/s10203-019-00249-8

Published Online: 2019-05-23

Published Print: 2019-12

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Corbetta, Jacopo https://orcid.org/0000-0001-7214-7659
Cohort, Pierre

Laachir, Ismail

Martini, Claude
License Information

Text and Data Mining valid from 2019-05-23

Version of Record valid from 2019-05-23
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Article History

Received: 14 May 2018

Accepted: 30 April 2019

First Online: 23 May 2019