Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
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Publication:2239273
DOI10.1016/j.spa.2021.09.005zbMath1494.60021OpenAlexW3199850672MaRDI QIDQ2239273
Publication date: 3 November 2021
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2021.09.005
optionscharacteristic functionleverage effectnonparametric inferencehigher-order asymptotic expansionItô semimartingale
Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Characteristic functions; other transforms (60E10) Diffusion processes (60J60) Auctions, bargaining, bidding and selling, and other market models (91B26) Jump processes on discrete state spaces (60J74)
Related Items
Volatility of volatility and leverage effect from options, Bias reduction in spot volatility estimation from options
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