206 citations · 593 across the 13 of their papers we have counts for
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q-fin.ST2023
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 i…
q-fin.ST2022★ 1 cited
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 characte…
q-fin.ST2010★ 144 cited
Do price and volatility jump together?
Jean Jacod, Viktor Todorov
We consider a process , which is observed on a finite time interval , at discrete times This process is an Itô semimartingale with stochastic volat…