We derive analytic formulae which link \alpha, \nu and \rho parameters in Andreasen-Huge style SABR model to the ATM price and option prices at four equally spaced strikes on the sides of ATM. We give two applications. First, we give a characterisation for the SABR parameters in terms of  the swap rate forward probability density function. Second, we show how Andreasen-Huge SABR can be combined with other well know analytic SABR formulae to allow consistent use in the non-arbitrage region .
We derive analytic formulae which link \alpha, \nu and \rho parameters in Andreasen-Huge style SABR model to the ATM price and option prices at four strikes close to ATM. Based on these formulae we give a characterisation for the SABR parameters in terms of derivatives of the swap rate forward probability density function. We test the analytic result in the application to the interest rate futures option market .
R
equally spaced strikes on the sides of ATM. We give two applications. First,
strikes close to ATM. Based on these formulae
A
derivatives of
R
Second, we show how Andreasen-Huge SABR can be combined with other well know analytic SABR formulae to allow consistent use in the non-arbitrage region
We test the analytic result in the application to the interest rate futures option market