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manav
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Joined: September 3rd, 2003, 11:30 am

Question on SABR

July 20th, 2005, 11:49 am

HiIn a calibrated SABR model, if I make beta, rho, and vov all Zero... I should be left with a normal model?And if I make beta=1, rho=vov=0, the resulting should be just logonormal model?Are these true?Thanks a lot
 
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manav
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Joined: September 3rd, 2003, 11:30 am

Question on SABR

July 20th, 2005, 6:28 pm

Any ideas?