A lower bound for the volatility swap in the lognormal SABR model
Mathematical Finance
2023-08-04 v2
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.
Cite
@article{arxiv.2306.14602,
title = {A lower bound for the volatility swap in the lognormal SABR model},
author = {E. Alòs and F. Rolloos and K. Shiraya},
journal= {arXiv preprint arXiv:2306.14602},
year = {2023}
}
Comments
arXiv admin note: text overlap with arXiv:1912.05383