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)
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Volatility of volatility and leverage effect from options, Bias reduction in spot volatility estimation from options
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