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.
Philipp Rindler (2020). Gatherals and Jacquier's Arbitrage-Free SVI Volatility Surfaces (https://www.mathworks.com/matlabcentral/fileexchange/49962-gatherals-and-jacquier-s-arbitrage-free-svi-volatility-surfaces), MATLAB Central File Exchange. Retrieved .
Does anyone know how to set the start values for the parameters?
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.
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