Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
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DOI: 10.1016/j.spa.2021.09.005
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Cited by:
- Carsten H. Chong & Viktor Todorov, 2023. "Asymptotic Expansions for High-Frequency Option Data," Papers 2304.12450, arXiv.org.
- Todorov, Viktor & Zhang, Yang, 2023. "Bias reduction in spot volatility estimation from options," Journal of Econometrics, Elsevier, vol. 234(1), pages 53-81.
- Carsten H. Chong & Viktor Todorov, 2023. "Volatility of Volatility and Leverage Effect from Options," Papers 2305.04137, arXiv.org, revised Jan 2024.
- Carsten H. Chong & Viktor Todorov, 2022. "Short-time expansion of characteristic functions in a rough volatility setting with applications," Papers 2208.00830, arXiv.org, revised Nov 2024.
- Chong, Carsten H. & Todorov, Viktor, 2024. "Volatility of volatility and leverage effect from options," Journal of Econometrics, Elsevier, vol. 240(1).
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Keywords
Characteristic function; Higher-order asymptotic expansion; Itô semimartingale; Leverage effect; Nonparametric inference; Options;All these keywords.
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