Edgeworth expansions for volatility models
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Abstract: Motivated from option and derivative pricing, this note develops Edgeworth expansions both in the Kolmogorov and Wasserstein metric for many different types of discrete time volatility models and their possible transformations. This includes, among others, H"{o}lder-type functions of (augmented) Garch processes of any order, iterated random functions or Volterra-processes.
The main contribution from this paper was to establish the validity of Edgeworth expansions both in the Kolmogorov and Wasserstein metric for various classes of popular volatility type models.
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