A lower bound for the volatility swap in the lognormal SABR model
Mostra el registre complet Registre parcial de l'ítem
- dc.contributor.author Alòs, Elisa
- dc.contributor.author Rolloos, Frido
- dc.contributor.author Shiraya, Kenichiro
- dc.date.accessioned 2024-02-19T07:24:45Z
- dc.date.available 2024-02-19T07:24:45Z
- dc.date.issued 2023
- dc.description.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.
- dc.description.sponsorship Elisa Alòs is supported by grant PID2020-118339GBI00 (Ministerio de Ciencia e Innovación). Kenichiro Shiraya is supported by the Center for Advanced Research in Finance (CARF).
- dc.format.mimetype application/pdf
- dc.identifier.citation Alòs E, Rolloos F, Shiraya K. A lower bound for the volatility swap in the lognormal SABR model. Axioms. 2023;12(8):749. DOI: 10.3390/axioms12080749
- dc.identifier.doi http://dx.doi.org/10.3390/axioms12080749
- dc.identifier.issn 2075-1680
- dc.identifier.uri http://hdl.handle.net/10230/59130
- dc.language.iso eng
- dc.publisher MDPI
- dc.relation.ispartof Axioms. 2023;12(8):749.
- dc.relation.projectID info:eu-repo/grantAgreement/ES/2PE/PID2020-11839GB100
- dc.rights © 2023 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri https://creativecommons.org/licenses/by/4.0/
- dc.subject.keyword lower bound
- dc.subject.keyword volatility swap
- dc.subject.keyword zero vanna implied volatility
- dc.subject.keyword lognormal SABR model
- dc.title A lower bound for the volatility swap in the lognormal SABR model
- dc.type info:eu-repo/semantics/article
- dc.type.version info:eu-repo/semantics/publishedVersion