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Asymptotic analysis for stochastic volatility: Edgeworth expansion
Asymptotic analysis stochastic volatility Edgeworth expansion
2010/10/19
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic...
Asymptotic analysis for stochastic volatility: Edgeworth expansion
stochastic volatility Edgeworth expansion European option prices
2010/4/28
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic...