The small and large time implied volatilities in the minimal market model (Q4909142)
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scientific article; zbMATH DE number 6143526
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| English | The small and large time implied volatilities in the minimal market model |
scientific article; zbMATH DE number 6143526 |
Statements
THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL (English)
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12 March 2013
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small and large time implied volatilities
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benchmark approach
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square-root process
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minimal market model
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0.80262690782547
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0.7853773832321167
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0.7846201658248901
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0.7844606637954712
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0.7786321640014648
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