Fast, accurate and arbitrage-free volatility surface fitting remains a core challenge for options desks. Fabrice Deschâtres presents convex volatility interpolation (CVI), a framework that casts the ...
We can see the difference between SVI and spline more clearly here. As expected, SVI curves show nice “smiles.” On the other hand, the spline follows the datapoints more closely but can go only as far ...
The competing bids for Warner Bros. Discovery have produced a well-established merger-arbitrage environment, with elevated implied volatility across the option chain reflecting uncertainty around ...
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