THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL
Year of publication: |
2012
|
---|---|
Authors: | GUO, ZHI JUN ; PLATEN, ECKHARD |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 15.2012, 08, p. 1250057-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Small and large time implied volatilities | benchmark approach | square-root process | the minimal market model |
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