Gatherals and Jacquier's Arbitrage-Free SVI Volatility Surfaces
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 .
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- Computational Finance > Financial Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
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