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Asymptotic Analysis for Stochastic Volatility: Edgeworth Expansion


 
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1. Title Title of document Asymptotic Analysis for Stochastic Volatility: Edgeworth Expansion
 
2. Creator Author's name, affiliation, country Masaaki Fukasawa; ETH Zürich; Switzerland
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) ergodic diffusion; fast mean reverting; implied volatility
 
3. Subject Subject classification 60F05; 34E15
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) Japan Science and Technology Agency
 
7. Date (YYYY-MM-DD) 2011-04-18
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/879
 
10. Identifier Digital Object Identifier 10.1214/EJP.v16-879
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 16
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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