TY - JOUR
AU1 - Jirak, Moritz
AB - Abstract: Motivated from option and derivative pricing, this note develops Edgeworth expansions both in the Kolmogorov and Wasserstein metric for many different types of discrete time volatility models and their possible transformations. This includes, among others, Hölder-type functions of (augmented) Garch processes of any order, iterated random functions or Volterra-processes.
TI - Edgeworth expansions for volatility models
JF - Quantitative Finance
DA - 2021-10-31
UR - https://www.deepdyve.com/lp/arxiv-cornell-university/edgeworth-expansions-for-volatility-models-cuGy9hpiUF
VL - 2021
IS - 2111
DP - DeepDyve
ER -