{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,30]],"date-time":"2026-09-30T14:01:51Z","timestamp":1790776911421,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We study the construction and calibration of an equity volatility surface in the extended SSVI (eSSVI) parameterization. The eSSVI provides a flexible, arbitrage-aware framework in which skew can vary across maturities. We calibrate it sequentially under penalties, by a greedy forward pass and jointly, with the power-law exponent \u03b3 fixed at 1\/2 and&amp;nbsp;freely estimated. We benchmark these structured approaches against SSVI and raw SVI. We use four weeks of daily and intraday option chains on four equity-index ETFs and four single names, with two thinner single names as an extension. We score each surface on in-sample and out-of-sample fit, static arbitrage, parameter stability and the smoothness of the Dupire local volatility it induces, and then price six-month vanillas in closed form and knockout barrier options under that local volatility. Raw SVI fits best in sample but degrades most out of sample and is unstable on single name chains; SSVI induces the smoothest local volatility. Although eSSVI guarantees static arbitrage bounds at the fitted pillars, inter-pillar interpolation can still induce static arbitrage. In price, the four eSSVI calibrations disagree on a six-month option by up to 3.5% of its value at the money on the index chains and by up to 7.5% half a standard deviation out of the money, against about 2% on single names. A knockout adds little on a well-behaved surface, but where the surface is inadmissible between pillars it amplifies the disagreement to 16 to 68% of the price. These results show that volatility-surface calibration cannot be judged by fit alone; the way an admissible surface is constructed can materially affect the local-volatility dynamics and path-dependent prices derived from it.<\/jats:p>","DOI":"10.2139\/ssrn.7543001","type":"posted-content","created":{"date-parts":[[2026,9,30]],"date-time":"2026-09-30T13:43:48Z","timestamp":1790775828000},"source":"Crossref","is-referenced-by-count":0,"title":["Fit Is Not Enough: An Empirical Study of eSSVI Calibrations Through the Local Volatility They Induce"],"prefix":"10.2139","author":[{"given":"Siddharth","family":"Singh","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,9,30]],"date-time":"2026-09-30T13:43:48Z","timestamp":1790775828000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7543001"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7543001","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}