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
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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.

Cite As

Philipp Rindler (2024). 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 .

MATLAB Release Compatibility
Created with R2014b
Compatible with any release
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Version Published Release Notes
1.0.0.0