HIGHLIGHTS
- who: Gaoyue Guo et al. from the (UNIVERSITY) have published the research work: Generalized Arbitrage-Free SVI Volatility Surfaces, in the Journal: (JOURNAL)
- what: The authors propose generalization of the recent work by Gatheral and [J. Gatheral and Quant. The aim here is to provide sufficient conditions on the triplet (u03b8, u03d5, u03a8) that will guarantee absence of static arbitrage. When the function u03a8 is asymptotically linear, however, more elegant formulations are available, and the authors provide necessary and sufficient conditions precluding static arbitrage (section 4.2). As in section 3.2 above, the authors . . .
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