The Small and Large Time Implied Volatilities in the Minimal Market Model
Pricing of Securities
2011-10-12 v2
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
Cite
@article{arxiv.1109.6154,
title = {The Small and Large Time Implied Volatilities in the Minimal Market Model},
author = {Zhi Guo and Eckhard Platen},
journal= {arXiv preprint arXiv:1109.6154},
year = {2011}
}
Comments
50 pages, 4 figures, typo on page 18 corrected