In this note we describe how to obtain reasonable Vegas for European securities priced off a single maturity SABR model calibrated to market data. We first introduce our notations and state what our hedging problem is. We then start by recalling the standard Jacobian methology when the number of...

In this study I apply forward sensitivity analysis to the dynamical system of nonlinear asset flow differential equations (AFDE). I find that all parameters in AFDE are needed and can be estimated from market prices and net asset values data. Moreover, the market price is the most fluctuating...