Asymptotic analysis for stochastic volatility: martingale expansion

DOI10.1007/s00780-010-0136-6zbMath1303.91177OpenAlexW2030511404MaRDI QIDQ484204

Masaaki Fukasawa

Publication date: 18 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0136-6

zbMATH Keywords

asymptotic expansionfractional Brownian motionjump-diffusionfast mean reversionpartial Malliavin calculusYoshida's formula

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Uses Software

• Mathematica

Cites Work

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