Open AccessShort Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles
Author(s) -
Mehdi El Amrani,
Antoine Jacquier,
Claude Martini
Publication year - 2021
Publication title -
siam journal on financial mathematics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.251
H-Index - 33
ISSN - 1945-497X
DOI - 10.1137/20m136089x
Subject(s) - volatility (finance) , implied volatility , volatility smile , sabr volatility model , financial economics , econometrics , arbitrage , economics
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