The Small and Large Time Implied Volatilities in the Minimal Market Model

This paper derives explicit formulas for both the small and large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on the implied volatility in the long run even though they are negligible in the short time limit.

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Year of publication:	2011-09-01
Authors:	Guo, Zhi ; Platen, Eckhard
Institutions:	Finance Discipline Group, Business School
Subject:	small and large time implied volatility \| benchmark approach \| square-root process \| the minimal market model

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Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 297 2 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009357763