38 reputation
3
bio website
location
age
visits member for 3 years, 10 months
seen Feb 23 '11 at 9:15

Feb
23
awarded  Scholar
Feb
23
awarded  Supporter
Feb
23
accepted What SABR $\beta$ to use for EURIBOR swaption smiles
Feb
23
comment What SABR $\beta$ to use for EURIBOR swaption smiles
I agree with the rest of your answer. The plotting method discussed by Hagan et al. (for potential outside readers: javaquant.net/papers/hagan_2002_managing.pdf) is indeed not very "fulfilling" if you ask me. The SABR beta seems to require a bit more attention, if you NEED to get the "correct" value - if you merely want to fit an observed smile (say, for interpolation) pretty much any beta will do. Thanks a lot for your very relevant reply!
Feb
23
comment What SABR $\beta$ to use for EURIBOR swaption smiles
Thanks a lot for the tip on the Mercurio paper! I thought I had read pretty much all the articles on the subject, but this was missing.
Feb
21
awarded  Student
Feb
21
asked What SABR $\beta$ to use for EURIBOR swaption smiles