14 citations · 30 across the 26 of their papers we have counts for
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q-fin.PR2010★ 7 cited
Normalization for Implied Volatility
Masaaki Fukasawa
We study specific nonlinear transformations of the Black-Scholes implied volatility to show remarkable properties of the volatility surface. Model-free bounds on the implied volati…
math.PR2010
Discretization error of Stochastic Integrals
Masaaki Fukasawa
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effe…
q-fin.CP2010
Asymptotic analysis for stochastic volatility: Edgeworth expansion
Masaaki Fukasawa
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffus…