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

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

2011-09-28

arxiv.org/abs/1109.6154v2

Economy

Quantitative Finance

Pricing of Securities

50 pages, 4 figures, typo on page 18 corrected

Scientific paper

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.

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