Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 25, 2021 erstellt
Description:
The Alos decomposition formula is written down, but making use of Bachelier price formula instead of the Black-Scholes price formula. Due to the linearity of the Bachelier formula in volatility at the at-the-money strike, the decomposition formula gives an exact expression for the price of a volatility swap