Hi all,I'm trying to generate good start values for my Levenberg-Marquardt solver and while Googling I found Gauthier's Smart Parameters (Link). The method has been mentioned a couple of times here on the forum as well.What I don't understand about the article is the following. It seems as they only pick an arbitrary expiry for which they pick 2 strikes and solve the system of two quadratic equations.If I have a surface with 10 different expiries, how do I know which expiry I should use when calculating my "smart parameters". Also, how much does the choice of strike prices affect the resulting parameter values?Thanks in advance for any help!Best regards
Last edited by DoubleTrouble
on January 25th, 2016, 11:00 pm, edited 1 time in total.