Can the implied volatility surface move by parallel shifts?

被引：29

作者：

Rogers, L. C. G. ^{[1
]}

Tehranchi, M. R. ^{[1
]}

机构：

[1] Univ Cambridge, Stat Lab, Ctr Math Sci, Cambridge CB3 0WB, England

来源：

FINANCE AND STOCHASTICS | 2010年 / 14卷 / 02期

关键词：

Implied volatility; Smile asymptotics; Long rates; RATES; LONG;

D O I：

10.1007/s00780-008-0081-9

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：235 / 248

页数：14

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