<t>I tried on some other data after your input and tried calibrate SABR again with a better result:F0=97,91T=2,4547945Call 96,375 1,72750Call 96,625 1,52250Call 96,875 1,32500Call 97,125 1,13750Call 97,375 0,96250Call 97,625 0,79750Call 97,875 0,64750Call 98,125 0,51500Put 98,75 1,07500Put 98,5 0,92...

The data is eurodollar future options - prices are determined by observed (bid+ask)/2

Yes her are some other calls:98,375 1,347598,625 1,097598,75 0,972599 0,72599,125 0,602599,375 0,357599,625 0,1225Do you use another fitting tool than Excel Solver?

<t>Hi again.Thanks for your reply - I checked that both my B76 values and new calculated SABR vol's (with your calibrated parameters) are the same.So at least the formulas are correct:-) My calibrated SABR parameters have nu > 5 and nu^2 T >> 1. But in that case the approximation is not a good appro...

<t>The last observed option is a put option, the first ones are call option. I get the following implied black log vols:155,624861%141,448694%115,935999%81,560501%48,558570%63,816040%Using Excel Solver to minimize SSE does give anything I can use (the implied black log vols from above are far from t...

<r>Yes, sure:I have F0 = 99,725, T=0,52603, disk-factor = 0,99 and the following observations:Strike K: price:98,25 1,472598,5 1,222598,875 0,8599,25 0,48 99,5 0,237599,875 0,1525 I use that:price x 25 = 0,99 x 1M x (90/360) x B76((100-F0)/100;(100-K)/100;0,52603;sigma) orprice = 0,99 x 10000 x B76(...

I just wonder why the calibrated model have a high \nu resulting in high \nu^2 T. I should probably take more options into my calibration procedure..

<t>Hi. I have tried to calibrate the SABR model to interest rate options using Hagan's approximation - resulting in a volvol parameter > 1 (often referred to as \nu). Hagans approximation assumes \nu^2 T << 1 and the calibration makes this assumption fail. Is there an upper bound for \nu? </t>

Thank you for replying. I am pretty new into numerical methods and the SABR method. Can you recommend a document discussing a finite difference method approach using SABR model (not too complex) and preferable some VBA code?

Does anyone know where to find VBA-code for a finite difference method approach on options pricing using the SABR model?