Initial vol 0.

beta 0.5
initial fwd vol 0.447214
vol of vol 0.6
rho 0.4 Strike Prices 4
f 5

T 1
(fK)^((1-beta)/2) 2.114743
(1-beta)*ln(f/K) 0.111572
A 0.211365
B 1.02961
phi 0.633108
chi 0.675326

Implied Vol 0.204019

Results for Similar Calculations for Different rho when vol of vol is 0.6

4 4.5 5 5.5 6
rho=0.4 0.204019 0.201266 0.205851 0.214565 0.224923693103355
rho=0.2 0.218645 0.208618 0.206324 0.209793 0.216556121654108
rho=0 0.230975 0.21482 0.206078 0.204017 0.206718015207185
rho=-0.2 0.241291 0.219878 0.205112 0.19725 0.195318319773002
rho=-0.4 0.249745 0.223786 0.203426 0.1895 0.182177918780382

27.00%
Implied
25.00% Volatility

23.00%

21.00%

19.00%

17.00%
Strike

15.00%
4.00 4.50 5.00 5.50 6.00
17.00%
Strike

15.00%
4.00 4.50 5.00 5.50 6.00
Calculations for Data in B1:C9

4.5 5.0005 5.5 6

2.177939 2.236124 2.289988 2.340347

0.05268 -5E-05 -0.047655 -0.091161
0.205314 0.199995 0.195272 0.191022
1.029399 1.029216 1.029056 1.028913
0.307865 -0.0003 -0.292825 -0.572472
0.32329 -0.0003 -0.274239 -0.500245

0.201266 0.205851 0.214565 0.224924

Results for Similar Calculations for Different rho when vol of vol is 1.2

4 4.5 5 5.5 6
rho=0.4 0.233521 0.21245 0.220744 0.247371 0.277332
rho=0.2 0.261671 0.230013 0.223851 0.240838 0.26621
rho=0 0.28352 0.243263 0.224078 0.230251 0.249977
rho=-0.2 0.299223 0.252102 0.221425 0.215801 0.228774
rho=-0.4 0.308682 0.256362 0.215892 0.197642 0.202551

35.00%
Implied
33.00% Volatility

31.00%

29.00%

27.00%

25.00%

23.00%

21.00%

19.00%

17.00% Strike
15.00%
4.00 4.20 4.40 4.60 4.80 5.00 5.20 5.40 5.60 5.80 6.00
rho=0.4 rho=0.2 rho=0 rho=-0.2 rho=-0.4
19.00%

17.00% Strike
15.00%
4.00 4.20 4.40 4.60 4.80 5.00 5.20 5.40 5.60 5.80 6.00
rho=0.4 rho=0.2 rho=0 rho=-0.2 rho=-0.4
t rho when vol of vol is 1.2

Strike

5.40 5.60 5.80 6.00

0.2 rho=-0.4
 Strike

5.40 5.60 5.80 6.00

0.2 rho=-0.4