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math.PR2018
The asymptotic expansion of the regular discretization error of Itô integrals
Elisa Alòs, Masaaki Fukasawa
We study a Edgeworth-type refinement of the central limit theorem for the discretizacion error of Itô integrals. Towards this end, we introduce a new approach, based on the anticip…
q-fin.CP2018
Short-term at-the-money asymptotics under stochastic volatility models
Omar El Euch, Masaaki Fukasawa, Jim Gatheral +1
A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at…