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Robust calibration and arbitrage-free interpolation of SSVI slices |
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| Authors: | Corbetta Jacopo Cohort Pierre Laachir Ismail Martini Claude |
| Institution: | 1.Zeliade Systems, 56 rue Jean-Jacques Rousseau, Paris, France ; |
| Abstract: | Decisions in Economics and Finance - We describe a robust calibration algorithm of a set of SSVI maturity slices (i.e., a set of 3 SSVI parameters $$\theta _t, \rho _t, \varphi _t$$... |
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