A Lower Bound for the Volatility Swap in the Lognormal SABR Model

Open Access
  • Authors: Elisa Alòs.
  • financial economics
  • axioms
  • Econometrics and Quantitative Methods
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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.

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