A Lower Bound for the Volatility Swap in the Lognormal SABR Model
Copyright policy )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 implied volatility for correlation less than or equal to zero.
lower bound; volatility swap; zero vanna implied volatility; lognormal SABR model, lognormal SABR model, 91G20, zero vanna implied volatility, Mathematical Finance (q-fin.MF), FOS: Economics and business, volatility swap, Quantitative Finance - Mathematical Finance, QA1-939, lower bound, Mathematics
lower bound; volatility swap; zero vanna implied volatility; lognormal SABR model, lognormal SABR model, 91G20, zero vanna implied volatility, Mathematical Finance (q-fin.MF), FOS: Economics and business, volatility swap, Quantitative Finance - Mathematical Finance, QA1-939, lower bound, Mathematics
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