Arbitrage-free SVI volatility surfaces

Jim Gatheral, Antoine Jacquier · 2014 · Quantitative Finance

AdvancedIntradayLFTMethodFree to read

How to fit SVI smiles across expiries without calendar or butterfly arbitrage. Directly usable for an index-options vol surface.

Read the paper ↗Free version ↗

At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: Intraday, LFT
Data needed: L1 quotes Set what data you have
Themes: Options & volatility
Assets: Options
Market: Global

Your notes

Report a problem with this entry

Step 7 of 9 in

Options and volatility for index-options traders

← The Volatility Surface: A Practitioner's GuideStock price clustering on option expiration dates →

Cite

@article{gatheral2014arbitrage,
  author = {Gatheral, Jim and Jacquier, Antoine},
  title = {{Arbitrage-free SVI volatility surfaces}},
  journal = {Quantitative Finance},
  year = {2014},
  doi = {10.1080/14697688.2013.819986}
}

Gatheral, J., & Jacquier, A. (2014). Arbitrage-free SVI volatility surfaces. Quantitative Finance. https://doi.org/10.1080/14697688.2013.819986