The asymptotic expansion of the regular discretization error of Itô integrals

DOI10.1111/mafi.12292zbMath1522.91257arXiv1802.07448OpenAlexW3096970076MaRDI QIDQ6054137

Masaaki Fukasawa, Elisa Alòs

Publication date: 27 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.07448

zbMATH Keywords

Itô integralMalliavin calculuscentral limit theoremsdiscretization errorvariance swapshedging error

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion

Cites Work

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• The Malliavin Calculus and Related Topics
• Prices and Asymptotics for Discrete Variance Swaps
• The bootstrap and Edgeworth expansion
• Malliavin calculus and martingale expansion

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