Alòs, ElisaRolloos, FridoShiraya, Kenichiro2024-02-192024-02-192023Alòs 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/axioms120807492075-1680http://hdl.handle.net/10230/59130In 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.application/pdfeng© 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/).info:eu-repo/semantics/articlehttp://dx.doi.org/10.3390/axioms12080749lower boundvolatility swapzero vanna implied volatilitylognormal SABR modelinfo:eu-repo/semantics/openAccess