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)

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