Thank You Alan!I really missed that point.. and was so sure, because K>F0 was ok, so I focused on analyzing behavior of other parts.Everything is ok now, thank you for senior member look.matnos

<t>Hi, due to current negative rates in economy, there were couple of papers from Antonov, Konikov and Spector who expanded the SABR model, and came with option pricing formula. Eg. in this paper they used 2 of their models: - Normal free boundary for geneneral correlation case and Beta = 0, which I...