WSVI：用于隐含波动率的无量纲形状族及其静态无套利结构
WSVI: A Dimensionless Shape Family for Implied Volatility and Its Static No-Arbitrage Structure
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中文总结 AI 辅助
本文提出一种新的隐含波动率参数族WSVI，解决了eSSVI无法生成二元事件临近到期期权W型微笑的问题，构建了其静态无套利结构并明确了相关条件。
中文摘要 AI 辅助
在二元事件（如财报发布）临近到期的期权中会出现W型微笑，且与双峰风险中性密度相关。三参数eSSVI切片无法生成此类微笑。本文定义了WSVI——一种允许行权价处曲率为负、隐含密度呈双峰的隐含波动率参数族，并构建其静态无套利结构。该构造将总方差分解为水平项与归一化对数货币性的无量纲形状；该形状扩展了每切片eSSVI形式，加入有界单侧基项，在内部增加灵活性，同时保留由仿射与二次分量控制的主导翼部行为。我们刻画了该族的精确定义域，并直接以形状坐标写出蝶式期权、垂直价差及日历价差条件。
英文摘要
W-shaped smiles appear in near-expiry options around binary events such as earnings, and have been associated with bimodal risk-neutral densities. The three-parameter eSSVI slice cannot produce them. This paper defines WSVI, a parametric family for implied volatility that admits negative at-the-forward curvature and bimodal implied densities, and develops its static no-arbitrage structure. The construction factorizes total variance into a level and a dimensionless shape of normalized log-moneyness. The shape extends the per-slice eSSVI form with bounded one-sided basis terms, which add flexibility in the interior while leaving the leading-order wing behavior controlled by the affine and quadratic components. We characterize the family's exact domain and write the butterfly, vertical spread, and calendar conditions directly in shape coordinates.
