Asymptotic analysis for stochastic volatility
Edgeworth expansion
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Date
2011-04Type
- Journal Article
ETH Bibliography
yes
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publishedExternal links
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Journal / series
Electronic Journal of ProbabilityVolume
Pages / Article No.
Publisher
Institute of Mathematical StatisticsSubject
Ergodic diffusion; Fast mean reverting; Implied volatilityNotes
Submitted to EJP on 23 April 2010, Final version accepted 14 March 2011.More
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ETH Bibliography
yes
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