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Gatherals and Jacquier's Arbitrage-Free SVI Volatility Surfaces

version 1.0.0.0 (77.9 KB) by Philipp Rindler
Implementation of the Paper Arbitrage-Free SVI volatility surfaces in Quantitative Finance 14:1

5 Downloads

Updated 10 Mar 2015

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The functions implement the different steps of the paper. The example.m file contains sample calculations on how to use the functions. The implementation follows the paper as much as possible. Whenever programming choices had to be made that are not described in the paper there are comments that explain the choice.

Comments and Ratings (6)

Zhenyu Tian

Minxue Jia

Han Lin

Does anyone know how to set the start values for the parameters?
Thanks

Excellent implementation, one remark: I believe the restriction p >= -2 psi should also be included in the GA optimization algorithm, to ensure positive variances. Thank you for this nice implementation !

Made a typo, restriction: p >= -2 * psi.

lee wayne

MATLAB Release Compatibility
Created with R2014b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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