Concepedia

Volatility Surface Arbitrage

Volatility Surface Arbitrage is a financial arbitrage strategy that exploits inconsistencies in the implied volatility surface across different strike prices and maturities, ensuring risk-free profits by constructing a portfolio of options that violates the no-arbitrage condition in a continuous-time, multi-dimensional volatility framework.

16

Publications

784

Citations

31

Authors

24

Institutions

Publications per year

2017–2026

3

Parents

Publications

16

Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility

Emanuel Derman, Iraj Kani · International Journal of Theoretical and Applied Finance · 1998 · 268 citations

, , +16

Relative arbitrage in volatility-stabilized markets

Robert Fernholz, Ioannis Karatzas · Annals of Finance · 2005 · 115 citations

, , +14

Volatility surfaces: theory, rules of thumb, and empirical evidence

Toby Daglish, John Hull, Wulin Suo · Quantitative Finance · 2007 · 95 citations

, , +16

Deterministic implied volatility models

Philippe Balland · Quantitative Finance · 2002 · 43 citations

, , +17

Arbitrage Bounds of the Implied Volatility Strike and Term Structures of European-Style Options

Hardy M. Hodges · The Journal of Derivatives · 1996 · 33 citations

, , +14

1–5 of 16

Authors

31

  1. AK
    Antonie Kotzé

    University of South Africa, South Africa

    2 publications · 40 citations

    2

    h-index

  2. JF
    Jianfen Feng

    University of International Business and Economics, China

    2 publications · 59 citations

    2

    h-index

  3. WS
    Wulin Suo

    Queen's University, Canada

    2 publications · 109 citations

    2

    h-index

  4. TD
    Toby Daglish

    Victoria University of Wellington, New Zealand

    2 publications · 109 citations

    2

    h-index

  5. HW
    Huning Wan

    University of Sussex, United Kingdom

    2 publications · 59 citations

    2

    h-index

1–5 of 31

Institutions

24

  1. Peking University

    Beijing, China

    2 h-index

    2 publications

    59 citations

  2. Queen's University

    Kingston, Canada

    2 h-index

    2 publications

    109 citations

  3. University of International Business and Economics

    Beijing, China

    2 h-index

    6 publications

    177 citations

  4. University of Sussex

    Brighton, United Kingdom

    2 h-index

    2 publications

    59 citations

  5. University of Toronto

    Toronto, Canada

    2 h-index

    2 publications

    109 citations

  6. Victoria University of Wellington

    Wellington, New Zealand

    2 h-index

    2 publications

    109 citations

  7. Exponent (United States)

    Menlo Park, United States

    1 h-index

    1 publications

    27 citations

  8. University of South Africa

    Pretoria, South Africa

    1 h-index

    1 publications

    15 citations

1–8 of 24

Venues

  1. SSRN Electronic Journal

    Repository · 3 publications · 68 citations

    3

    h-index

  2. Quantitative Finance

    2 publications · 138 citations

    2

    h-index

  3. SIAM Journal on Financial Mathematics

    1 publications · 23 citations

    1

    h-index

  4. Annals of Finance

    1 publications · 115 citations

    1

    h-index

  5. Journal of Banking & Finance

    1 publications · 24 citations

    1

    h-index

1–5