In the SABR model, suppose that F0=5, =0.5, 0=0.447 (equivalent to a lognormal volatility of 20%), and

In the SABR model, suppose that F0=5, β=0.5, σ0=0.447 (equivalent to a lognormal volatility of 20%), and T=1. Show how the volatility smile varies with ρ for (a) v=0.6 and (b) (a) v=1.2. Consider values of r equal to 0.4, 0.2, 0, −0.2, and −0.4. and values of the strike price equal to 4, 4.5, 5.0, 5.5 and 6.0.