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波动率曲面的校准算法。这两种算法分别是：(i) Corbetta等人(2019)提出的鲁棒校准算法，以及(ii) Mingone(2022)提出的校准算法。对于后者，我在目标函数中考虑了两种权重类型。我对2012-2022年期间108个月末SPXW期权链进行了拟合。期权数据来自FactSet。除这一实证部分外，本文还有一项理论贡献，即对Hendriks-Martini关于两个eSSVI切片之间交叉点存在的命题进行了强化。