The Small and Large Time Implied Volatilities in the Minimal Market Model
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 of creation:||01 Sep 2011|
|Date of revision:|
|Publication status:||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.|
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