GUO, ZHI JUN; PLATEN, ECKHARD - In: International Journal of Theoretical and Applied … 15 (2012) 08, pp. 1250057-1
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.