THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL

DOI10.1142/S0219024912500574zbMath1260.91236arXiv1109.6154OpenAlexW3123145247MaRDI QIDQ4909142

Eckhard Platen, Zhi-Jun Guo

Publication date: 12 March 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.6154

zbMATH Keywords

square-root processbenchmark approachminimal market modelsmall and large time implied volatilities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

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