The small and large time implied volatilities in the minimal market model

Zhi Jun Guo; Eckhard Platen

doi:10.1142/S0219024912500574

The small and large time implied volatilities in the minimal market model

Zhi Jun Guo, Eckhard Platen

Research output: Contribution to journal › Article › peer-review

Abstract

This paper derives explicit formulas for both the small and the 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.

Original language	English
Pages (from-to)	1-23
Number of pages	23
Journal	International Journal of Theoretical and Applied Finance
Volume	15
Issue number	8
DOIs	https://doi.org/10.1142/S0219024912500574
Publication status	Published - 2012

Keywords

benchmarking (management)
economic impact
economic models
interest rates
markets
square root
volatility (finance)

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10.1142/S0219024912500574

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title = "The small and large time implied volatilities in the minimal market model",

abstract = "This paper derives explicit formulas for both the small and the 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 = "benchmarking (management), economic impact, economic models, interest rates, markets, square root, volatility (finance)",

author = "Guo, {Zhi Jun} and Eckhard Platen",

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KW - benchmarking (management)

KW - economic impact

KW - economic models

KW - interest rates

KW - markets

KW - square root

KW - volatility (finance)

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The small and large time implied volatilities in the minimal market model

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Keywords

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