The small and large time implied volatilities in the minimal market model

Publication Type:
Journal article
International Journal of Theoretical and Applied Finance, 2012, 15 (8)
Issue Date:
Full metadata record
Files in This Item:
Filename Description Size
Thumbnail2012001799OK.pdf520.51 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. © 2012 World Scientific Publishing Company.
Please use this identifier to cite or link to this item: