Sökning: "eSSVI"

Hittade 1 uppsats innehållade ordet eSSVI.

  1. 1. The Calibrated SSVI Method - Implied Volatility Surface Construction

    Master-uppsats, KTH/Matematisk statistik

    Författare :Adam Öhman; [2019]
    Nyckelord :Implied; Volatility; Surface; Construction; SVI; SSVI; eSSVI; Stochastic Volatility Inspired; calibrated SSVI; modelling; arbitrage; interpolation; extrapolation; FHS VaR; derivatives; CCP; clearing; Implicit; Volatilitet; Ytor; Option; SVI; SSVI; eSSVI; kalibrerade SSVI; arbitrage; modellering; finans; matematik;

    Sammanfattning : In this thesis will the question of how to construct implied volatility surfaces in a robust and arbitrage free way be investigated. To be able to know if the solutions are arbitrage free was an initial investigation about arbitrage in volatility surfaces made. From this investigation where two comprehensive theorems found. LÄS MER