The Small And Large Time Implied Volatilities In The Minimal Market Model

World Scientific Publishing
Publication Type:
Journal Article
International Journal of Theoretical and Applied Finance, 2012, 15 (08), pp. 1 - 23
Issue Date:
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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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