Can the implied volatility surface move by parallel shifts?

DOI10.1007/s00780-008-0081-9zbMath1224.91197OpenAlexW2067602260MaRDI QIDQ2430258

L. C. G. Rogers, Michael R. Tehranchi

Publication date: 6 April 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-008-0081-9

zbMATH Keywords

implied volatilityBlack-Scholes formulaMills' ratiolong ratesmile asymptotic

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Related Items (22)

ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ Black-Scholes in a CEV random environment ⋮ Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula ⋮ Parametric modeling of implied smile functions: a generalized SVI model ⋮ Simulation of Arbitrage-Free Implied Volatility Surfaces ⋮ Shapes of Implied Volatility with Positive Mass at Zero ⋮ The survival probability of the SABR model: asymptotics and application ⋮ The large-maturity smile for the Stein-Stein model ⋮ Asymptotic formulae for implied volatility in the Heston model ⋮ Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure ⋮ SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST ⋮ Implied Volatility in Strict Local Martingale Models ⋮ GENERALIZATION OF THE DYBVIG–INGERSOLL–ROSS THEOREM AND ASYMPTOTIC MINIMALITY ⋮ THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL ⋮ ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS ⋮ THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE ⋮ MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX ⋮ Generalized Arbitrage-Free SVI Volatility Surfaces ⋮ On the Harmonic Mean Representation of the Implied Volatility ⋮ Scenario analysis for derivative portfolios via dynamic factor models ⋮ Short Maturity Forward Start Asian Options in Local Volatility Models ⋮ Arbitrage-free SVI volatility surfaces

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Arbitrage-free market models for option prices: the multi-strike case
• Convergence of At-The-Money Implied Volatilities to the Spot Volatility
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• A market model for stochastic implied volatility

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