2 papers
q-fin.ST2025
Asymptotic Expansions for High-Frequency Option Data
Carsten H. Chong, Viktor Todorov
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of Itô semimartingale increments. The asymptotics setup…
q-fin.ST2024
Short-time expansion of characteristic functions in a rough volatility setting with applications
Carsten H. Chong, Viktor Todorov
We derive a higher-order asymptotic expansion of the conditional characteristic function of the increment of an Itô semimartingale over a shrinking time interval. The spot charact…