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Asymptotic Analysis for Stochastic Volatility: Edgeworth Expansion

   
@article{EJP879,
	author = {Masaaki Fukasawa},
	title = {Asymptotic Analysis for Stochastic Volatility: Edgeworth Expansion},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {16},
	year = {2011},
	keywords = {ergodic diffusion; fast mean reverting; implied volatility},
	abstract = {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 expansion is around the Black-Scholes price and is uniform in bounded payoff functions. The result provides a validation of an existing singular perturbation expansion formula for the fast mean reverting stochastic volatility model.},
	pages = {no. 25, 764-791},
	issn = {1083-6489},
	doi = {10.1214/EJP.v16-879},    
        url = {http://ejp.ejpecp.org/article/view/879}}