Serving the Quantitative Finance Community

Search found 1 match

by gchu2020
November 19th, 2020, 2:34 pm
Forum: Technical Forum
Topic: Arbitrage Free Interpolation of Implied Volatility on Time Dimension
Replies: 2
Views: 4198

Arbitrage Free Interpolation of Implied Volatility on Time Dimension

I’m working on a project to build a local volatility model out of implied volatility data and I’m currently testing the no-arbitrage version of SVI model as described in this paper Section 5.1 [Gatheral 2012] . The problem I met is about the interpolation along time dimension (between SVI slices).  ...