1. Applying the SABR model to German power Forwards –
Smile evolution with multiple SABR-fits (constant 𝛽; refitting 𝛼, 𝜌, 𝜈)
20 22 24 26 28 30 32 34 36 38
5
10
15
20
25
30
35
40
SABR fit on the 11-Sep-2002 with forward price 23.95 and ATM Volatility 6.66%
SABR fit on the 20-Jun-2003 with forward price 27.65 and ATM Volatility 10.03%
SABR fit on the 24-Nov-2003 with forward price 33.40 and ATM Volatility 32.39%
Strike
Volatility