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20192025
most citedForward start volatility swaps in rough volatility models

1 citations · 1 across the 7 of their papers we have counts for

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q-fin.MF2023

A lower bound for the volatility swap in the lognormal SABR model

E. Alòs, F. Rolloos, K. 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.…