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：在本研究中，我测试了两种eSSVI波动率曲面的校准算法。这两种算法分别是：（i）Corbetta等人（2019）提出的鲁棒性校准算法和（ii）Mingone（2022）的校准算法。对于后者，我考虑了目标函数中两种类型的加权方法。我拟合了2012-2022年期间的108个月底SPXW期权链。期权数据来自FactSet。除了这个实证部分，本文还包括一个理论贡献：对Hendriks-Martini关于两个eSSVI切片之间存在交点的命题进行了深入研究和探索。