Showing 1 - 10 of 10
Persistent link: https://www.econbiz.de/10011377682
Persistent link: https://www.econbiz.de/10011778099
Persistent link: https://www.econbiz.de/10002108812
Persistent link: https://www.econbiz.de/10002250902
Persistent link: https://www.econbiz.de/10009707096
Persistent link: https://www.econbiz.de/10009564614
Persistent link: https://www.econbiz.de/10009564622
Persistent link: https://www.econbiz.de/10013347384
Persistent link: https://www.econbiz.de/10013380525
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
Persistent link: https://www.econbiz.de/10013098767