<t>Dear jd1123,I am actually taking the spread option approach and have some specific questions. The hardest part for me, so far, is the estimate of the volatility (for the spot) and correlation (matrix when considering different months). My problem is specific to a option to park. So my approach is...

<t>Thanks Alan,I actually don't have any ATM data..I use day settlements. I am trying to find a model that best simulates futures contracts on NYMEX NG. So trying to fit the smile has not worked out...I did find a paper on "illiquid ..." in which the calibration is done through data saries..I am goi...

<t>A comment about alaxyz's problem: I had some complex number issues too, but that was when rho = 1 or -1...My problem is that I fix the smile and skew 1st by calibrating volvol and rho, but when I change alpha, the smile changes slope. According to Hagan, Alpha should only effect the height of the...