Asymptotic analysis for stochastic volatility: Edgeworth expansion

DOI10.1214/EJP.v16-879zbMath1244.91091arXiv1004.2106MaRDI QIDQ638406

Masaaki Fukasawa

Publication date: 9 September 2011

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.2106

zbMATH Keywords

asymptotic expansionEdgeworth expansionimplied volatilityoption pricesergodic diffusionfast mean reverting

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Derivative securities (option pricing, hedging, etc.) (91G20) Singular perturbations for ordinary differential equations (34E15)

Related Items (5)

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration ⋮ Short-time at-the-money skew and rough fractional volatility ⋮ Closed-form implied volatility surfaces for stochastic volatility models with jumps ⋮ Edgeworth expansions for volatility models ⋮ VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE

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