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

Publisher:
World Scientific Publishing
Publication Type:
Journal Article
Citation:
International Journal of Theoretical and Applied Finance, 2012, 15 (08), pp. 1 - 23
Issue Date:
2012
Full metadata record
Files in This Item:
Filename Description Size
s0219024912500574.pdfPublished Version452.41 kB
Adobe PDF
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.
Please use this identifier to cite or link to this item: