I would like to know if someone could provide a summarized view of the advantages and disadvantages of the SABR model used to price FX options?


1 Answer 1


Here you can refer to the previously asked question regarding the advantages and disadvatanges of the volatility surface:- What are the advantages/disadvantages of these approaches to deal with volatility surface?

To my knowledge, the main advantage of using SABR in comparison to other models like Heston is that, SABR assumes lognormal distribution whereas heston assumes normal distribution.

You can also refer to the below article:-


  • $\begingroup$ SABR doesn't necessary assume lognormal distribution of the underlying asset, in fact this holds only for $\beta=1$. $\endgroup$
    – Hasek
    Mar 28, 2022 at 10:25

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