Asymptotic analysis for stochastic volatility: Edgeworth expansion
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Publication:638406
DOI10.1214/EJP.v16-879zbMath1244.91091arXiv1004.2106MaRDI QIDQ638406
Publication date: 9 September 2011
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.2106
asymptotic expansion; Edgeworth expansion; implied volatility; option prices; ergodic diffusion; fast mean reverting
60F05: Central limit and other weak theorems
91G20: Derivative securities (option pricing, hedging, etc.)
34E15: Singular perturbations for ordinary differential equations
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