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. Implied volatility and smile asymptotics and long rates JEL Classification: G13 Mathematics Subject Classification (2000): 60G44, 91B70

• Type: Journal
• Year: 2010
• Where: FS
• Authors: L. C. G. Rogers, Michael Tehranchi
• Keywords: FS 2010, Implied Volatility, Implied Volatility Surface, Rate Term Structure