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Can the implied volatility surface move by parallel shifts?

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  • L. Rogers
  • M. Tehranchi

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  • L. Rogers & M. Tehranchi, 2010. "Can the implied volatility surface move by parallel shifts?," Finance and Stochastics, Springer, vol. 14(2), pages 235-248, April.
    • Handle: RePEc:spr:finsto:v:14:y:2010:i:2:p:235-248
    DOI: 10.1007/s00780-008-0081-9
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    References listed on IDEAS

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    1. Friedrich Hubalek & Irene Klein & Josef Teichmayn, 2002. "A General Proof Of The Dybvig‐Ingersoll‐Ross Theorem: Long Forward Rates Can Never Fall," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 447-451, October.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    3. P. Balland, 2002. "Deterministic implied volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 31-44.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Forde, Martin, 2014. "The large-maturity smile for the Stein–Stein model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 145-152.
    2. Dan Pirjol & Jing Wang & Lingjiong Zhu, 2017. "Short Maturity Forward Start Asian Options in Local Volatility Models," Papers 1710.03160, arXiv.org.
    3. Zhi Jun Guo & Eckhard Platen, 2012. "The Small And Large Time Implied Volatilities In The Minimal Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-23.
    4. Mario Dell’Era, 2014. "Closed Form Solution for Heston PDE By Geometrical Transformations," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(6), pages 793-807, June.
    5. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2013. "Shapes of implied volatility with positive mass at zero," Papers 1310.1020, arXiv.org, revised May 2017.
    6. Stefano De Marco, 2020. "On the harmonic mean representation of the implied volatility," Papers 2007.03585, arXiv.org.
    7. Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
    8. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
    9. Bo Zhao & Stewart Hodges, 2013. "Parametric modeling of implied smile functions: a generalized SVI model," Review of Derivatives Research, Springer, vol. 16(1), pages 53-77, April.
    10. Stefano De Marco & Claude Martini, 2017. "Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula," Papers 1703.00957, arXiv.org, revised May 2017.
    11. Stefano De Marco & Caroline Hillairet & Antoine Jacquier, 2017. "Shapes of implied volatility with positive mass at zero," Working Papers 2017-77, Center for Research in Economics and Statistics.
    12. Antoine Jacquier & Martin Keller-Ressel, 2015. "Implied volatility in strict local martingale models," Papers 1508.04351, arXiv.org.
    13. Dorje C. Brody & Lane P. Hughston, 2018. "Social Discounting And The Long Rate Of Interest," Mathematical Finance, Wiley Blackwell, vol. 28(1), pages 306-334, January.
    14. Dan Pirjol & Lingjiong Zhu, 2020. "Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface," Papers 2001.09850, arXiv.org, revised Mar 2020.
    15. Gaoyue Guo & Antoine Jacquier & Claude Martini & Leo Neufcourt, 2012. "Generalised arbitrage-free SVI volatility surfaces," Papers 1210.7111, arXiv.org, revised May 2016.
    16. Arianna Mingone, 2022. "Smiles in delta," Papers 2209.00406, arXiv.org.
    17. Leif Andersen & Alexander Lipton, 2012. "Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results," Papers 1206.6787, arXiv.org.
    18. Dorje C. Brody & Lane P. Hughston, 2013. "Social Discounting and the Long Rate of Interest," Papers 1306.5145, arXiv.org, revised Sep 2015.

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    More about this item

    Keywords

    Implied volatility; Smile asymptotics; Long rates; 60G44; 91B70; G13;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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