Can the implied volatility surface move by parallel shifts?
نویسندگان
چکیده
This note explores the analogy between the dynamics of the interest rate term structure and the implied volatility surface of a stock. In particular, we prove an impossibility theorem conjectured by Steve Ross. Implied volatility and smile asymptotics and long rates JEL Classification: G13 Mathematics Subject Classification (2000): 60G44, 91B70
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 14 شماره
صفحات -
تاریخ انتشار 2010