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- matrixpower
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Question on SABR
Hi All, I am reading the paper of Hagan's, "Managing Smile Risk". How to understand the first line in 24 page? It was said "Integrating the A derivatives { epsilon^2 * rho * v [A^2C(F)p] with respect to F and A} and {0.5*epsilon^2*v^2[A^2*p] with respect to A and A} over all A yields zero. Is there any point to support this?ThanksMatrix