Showing 1 - 10 of 43,747
Persistent link: https://www.econbiz.de/10001592275
Persistent link: https://www.econbiz.de/10011667601
Persistent link: https://www.econbiz.de/10011897560
Persistent link: https://www.econbiz.de/10003042066
Persistent link: https://www.econbiz.de/10003964488
Persistent link: https://www.econbiz.de/10011298886
Persistent link: https://www.econbiz.de/10009707096
Persistent link: https://www.econbiz.de/10009564614
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
Persistent link: https://www.econbiz.de/10013098767