Anyone have any luck implementing Castagna's formulas either for base black scholes or vanna volga adjustment?I can't get prices to come close to BBG or SuperD or for that matter FinCAD and have checked my inputs quite a few times.

<t>Thank you for your reply and thank you for bearing with me. Patience is required for someone as new as I am . ;-)A) I assume what we want is to select alphas such that (4.4) and (4.5) equal to market SR? if so alphas would need to vary for each abscissa under gauss quadrature expansion, wouldn't ...

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<t>Hello Mark,I just had a chance to go through the paper you sent and it's exactly what I'm looking for.I implemented another model that was good on short term spread options but then had very significant divergence in medium and long term.I'm not familiar with research in the area and I'm wonderin...

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Thank you for your helpful replies folks.Also Mark, thank you (and love your books btw)

<t>Does anyone know of any papers discussing a simplified approach to CMS Spread Option pricing for giving "ball-park" prices?In particular I'm wondering if it is possible to simply use the 2 points in isolation without term structure and just take vols and correlations between the two points ?Thank...