论文标题
没有套利全局参数化的埃斯维挥发性表面
No arbitrage global parametrization for the eSSVI volatility surface
论文作者
论文摘要
文章介绍了Hendriks和Martini在2019年引入的ESSVI表面的全球和套利无参数化。2019年Zeliade的定量研究团队已经提出了对此类表面的强大校准，但它是有效期的依次，并且在表面上缺乏全球视图。本文中建议的替代校准速度更快，并且始终保证无套利的市场数据拟合。
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.
