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Reech Local Volatility Model

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pschwen
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Joined: July 14th, 2002, 3:00 am

Reech Local Volatility Model

October 17th, 2003, 1:30 pm

Last edited by pschwen on August 25th, 2004, 10:00 pm, edited 1 time in total.
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liefje
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Joined: September 26th, 2002, 2:11 pm

Reech Local Volatility Model

October 24th, 2003, 2:40 pm

Are you using the dll version or the xla?With the xla, when I input flat IVs, the resulting Localvol surf is not stable.So look first at the local vol it provides and if so put this product in the bin....
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calculator
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Joined: October 31st, 2002, 10:00 am

Reech Local Volatility Model

December 14th, 2003, 8:10 am

We are actually looking to Reech. Do you have other remarks on that library ?
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