P Profitaker Aug 31, 2005 #51 Quote from sle: No, the vol surface does not have to be flat, it has to have the same vol at reflection stirke. A truly-symmetrical smile (no skew) would keep put/call symmetry. More... Gotcha SLE. Many thanks for your patience. Phew !
Quote from sle: No, the vol surface does not have to be flat, it has to have the same vol at reflection stirke. A truly-symmetrical smile (no skew) would keep put/call symmetry. More... Gotcha SLE. Many thanks for your patience. Phew !
