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SABR model
easy question:Do you know where the name "SABR" comes from?Is that names of people?Thanks
SABR model
It's a very well-written paper -- the answer is in section 2.3, The SABR model:Quote"Choosing the simplest reasonable process for alpha_hat now yields the “stochastic-alpha-beta-rho model,” which has become known as the SABR model. alpha -> stochastic vol beta -> specifies stochastic log-normal (beta = 1) vs. stochastic normal model (beta = 0)rho -> instantaneous correlation between the underlying & stochastic vol processes