Edgeworth expansions for volatility models

DOI10.1214/23-EJP1018arXiv2111.00529OpenAlexW3210827774MaRDI QIDQ6136793FDOQ6136793

Moritz Jirak

Publication date: 17 January 2024

Published in: Electronic Journal of Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2111.00529

zbMATH Keywords

weak dependenceEdgeworth expansionsvolatility modelsGarch

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) (L^p)-limit theorems (60F25)

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