The Small and Large Time Implied Volatilities in the Minimal Market Model

Zhi Guo and Eckhard Platen (eckhard.platen@uts.edu.au)
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Zhi Guo: School of Computing and Mathematics, University of Western Sydney

No 297, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: 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.

Keywords: small and large time implied volatility; benchmark approach; square-root process; the minimal market model (search for similar items in EconPapers)
Pages: 21 pages
Date: 2011-09-01
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (1)

Published as: Guo, Z. and Platen, E., 2012, "The Small and Large Time Implied Volatilities in the Minimal Market Model", International Journal of Theoretical and Applied Finance, 15(8), 125-157.

Downloads: (external link)
https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp297.pdf (application/pdf)

Related works:
Journal Article: THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL (2012)
Working Paper: The Small and Large Time Implied Volatilities in the Minimal Market Model (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:297

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