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

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

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 impli...

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Veröffentlicht in:arXiv.org 2023-08
Hauptverfasser: Alòs, E, Rolloos, F, Shiraya, K
Format: Artikel
Sprache:eng
Schlagworte:
Lower bounds
Volatility
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Zusammenfassung: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.
ISSN:2331-8422