Working Papers

Quantitative Finance




A lower bound for the volatility swap in the lognormal SABR model “Forthcoming in Axioms”

Author:Elisa Alòs, Frido Rolloos, Kenichiro Shiraya


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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