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1. A lower bound for the volatility swap in the lognormal SABR model

Author

Alòs, E., Rolloos, F., and Shiraya, K.

Subjects
Quantitative Finance - Mathematical Finance, 91G20
Abstract

In the short time to maturity limit it is proved that for the conditionally lognormal SABR model the zero vanna implied volatility is a lower bound for the volatility swap strike. The result is valid for all values of the correlation parameter and is a sharper lower bound than the at-the-money implied volatility for correlation less than or equal to zero., Comment: arXiv admin note: text overlap with arXiv:1912.05383

Published
2023

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