Can the implied volatility surface move by parallel shifts?

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.

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Bibliographische Detailangaben
Veröffentlicht in:	Finance and stochastics 2010-04, Vol.14 (2), p.235-248
Hauptverfasser:	Rogers, L. C. G., Tehranchi, M. R.
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Economic Theory/Quantitative Economics/Mathematical Methods Economics Finance Insurance Interest rates Management Mathematics Mathematics and Statistics Probability Theory and Stochastic Processes Put & call options Quantitative Finance Random variables Ross, Steve Statistics for Business Stochastic models Studies Volatility
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Beschreibung
Zusammenfassung:	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.
ISSN:	0949-2984 1432-1122
DOI:	10.1007/s00780-008-0081-9