In this work I test two calibration algorithms for the eSSVI volatility surface. The two algorithms are (i) the robust calibration algorithm proposed in Corbetta et al. (2019) and (ii) the calibration algorithm in Mingone (2022). For the latter I considered two types of weights in the objective function. I fitted 108 end-of-month SPXW options chains from the period 2012-2022. The option data come from FactSet. In addition to this empirical part, this paper contains also a theoretical contribution which is a sharpening of the Hendriks-Martini proposition about the existence of crossing points between two eSSVI slices.

Pasquazzi, L. (2023). eSSVI Surface Calibration [Altro].

eSSVI Surface Calibration

Leo Pasquazzi
Primo
2023

Abstract

In this work I test two calibration algorithms for the eSSVI volatility surface. The two algorithms are (i) the robust calibration algorithm proposed in Corbetta et al. (2019) and (ii) the calibration algorithm in Mingone (2022). For the latter I considered two types of weights in the objective function. I fitted 108 end-of-month SPXW options chains from the period 2012-2022. The option data come from FactSet. In addition to this empirical part, this paper contains also a theoretical contribution which is a sharpening of the Hendriks-Martini proposition about the existence of crossing points between two eSSVI slices.
Altro
eSSVI volatility surface, Calibration, Arbitrage free interpolation
English
4-apr-2023
2023
https://arxiv.org/abs/2304.02106
Pasquazzi, L. (2023). eSSVI Surface Calibration [Altro].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/408241
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