In this work I test two calibration algorithms for the eSSVI volatility surface. The two algorithms are (i) the robust calibration algorithm proposed in Corbetta et al. (2019) and (ii) the calibration algorithm in Mingone (2022). For the latter I considered two types of weights in the objective function. I fitted 108 end-of-month SPXW options chains from the period 2012-2022. The option data come from FactSet. In addition to this empirical part, this paper contains also a theoretical contribution which is a sharpening of the Hendriks-Martini proposition about the existence of crossing points between two eSSVI slices.

翻译：本文测试了两种针对eSSVI波动率曲面的标定算法。两种算法分别是：(i) Corbetta等人(2019)提出的鲁棒标定算法，以及(ii) Mingone(2022)的标定算法。对于后者，我在目标函数中考虑了两种类型的权重。我拟合了2012-2022年期间108个月末SPXW期权链数据，期权数据来源于FactSet。除实证研究外，本文还包含一项理论贡献，即对Hendriks-Martini关于两个eSSVI切片间交叉点存在性命题的强化。