Daglish, Toby; Hull, John; Suo, Wulin - In: Quantitative Finance 7 (2007) 5, pp. 507-524
. Traders monitor movements in volatility surfaces closely. In this paper we develop a no-arbitrage condition for the evolution … whether they are consistent with the no-arbitrage condition and with data on the trading of options on the S&P 500 taken from … with the no-arbitrage condition. …