THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL

This paper derives explicit formulas for both the small and the 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:	2012
Authors:	GUO, ZHI JUN ; PLATEN, ECKHARD
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 15.2012, 08, p. 1250057-1
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Small and large time implied volatilities \| benchmark approach \| square-root process \| the minimal market model

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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