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

Zhi Guo and Eckhard Platen ()

Papers from arXiv.org

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.

Date: 2011-09, Revised 2011-10
New Economics Papers: this item is included in nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1109.6154

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