Re: wing volatility model

Posted by YuHong-4 on Aug 31, 2014; 3:38am
URL: http://quantlib.414.s1.nabble.com/wing-volatility-model-tp15820p15824.html


Attached please find the wing model specification document I used in 2011.
I do keep the R and EXCEL work for that small project.  However, those
not-well-organized code usually let you hard to follow  and may not fit your
specific needs, thus earn me no good comments, even if I kindly give you for
free.

So as this is not brand new nor tough theory, if you or your team will work
on it, I shall be happy to provide suggestions from my past experiences.  Or
if you would like me to do for your inquiry, can discuss.

Hong Yu



-----原始邮件-----
From: Jonathan.issan
Sent: Sunday, August 31, 2014 11:03 AM
To: [hidden email]
Subject: Re: [Quantlib-dev] wing volatility model

Hi wong Hu

And do you have some simple code for arbitrage free wing model?

Thanks

Jonathan



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