Mathematical Finance (q-fin.MF)
Mon, 26 Jun 2023
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1.A lower bound for the volatility swap in the lognormal SABR model
Authors:E. Alòs, F. Rolloos, K. Shiraya
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.