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The implied volatility surface does not move by parallel shifts. Working Paper (2006)
by
L. C. G. Rogers
,
M. R. Tehranchi
| Citations: | 2 - 0 self |
BibTeX
@MISC{Rogers06theimplied,
author = {L. C. G. Rogers and M. R. Tehranchi},
title = {The implied volatility surface does not move by parallel shifts. Working Paper},
year = {2006}
}
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Abstract
Abstract. 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. 1.
