Browsing by Subject "volatility swap"

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  • Alòs, Elisa; Rolloos, Frido; Shiraya, Kenichiro (MDPI, 2023)
    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 ...

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