Given a set of calibrated SABR parameters, what is the approach to get the implied vol for a given delta ? thanks

  • $\begingroup$ I'd say solve delta for the forward and plug the forward into the equations shown on P.91 of the article Managing Smile risk from Hagan et. al in the Willmott magazine as shown here. $\endgroup$
    – AKdemy
    May 16, 2023 at 14:51


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