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  • Search: subject:"small and large time implied volatility"
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Year of publication
Subject
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benchmark approach 1 small and large time implied volatility 1 square-root process 1 the minimal market model 1
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Free 1
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Book / Working Paper 1
Language
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English 1
Author
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Guo, Zhi 1 Platen, Eckhard 1
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Finance Discipline Group, Business School 1
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Research Paper Series / Finance Discipline Group, Business School 1
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RePEc 1
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The Small and Large Time Implied Volatilities in the Minimal Market Model
Guo, Zhi; Platen, Eckhard - Finance Discipline Group, Business School - 2011
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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