Small time central limit theorems for semimartingales with applications

DOI10.1080/17442508.2014.1000326zbMath1337.60020arXiv1208.4282OpenAlexW1834073178MaRDI QIDQ2804007

Mykhaylo Shkolnikov, Max Kleinert, Stefan Gerhold, Piet Porkert

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.4282

zbMATH Keywords

functional central limit theoremsemimartingalesstochastic differential equationscentral limit theoremimplied volatility skewdigital option

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Itô differential representation of singular stochastic Volterra integral equations ⋮ Density estimates and central limit theorem for the functional of fractional SDEs ⋮ Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models

Uses Software

• Mathematica

Cites Work

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