Edgeworth expansions for volatility models
Probability
2022-09-07 v3 Statistics Theory
Mathematical Finance
Statistics Theory
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, H\"{o}lder-type functions of (augmented) Garch processes of any order, iterated random functions or Volterra-processes.
Keywords
Cite
@article{arxiv.2111.00529,
title = {Edgeworth expansions for volatility models},
author = {Moritz Jirak},
journal= {arXiv preprint arXiv:2111.00529},
year = {2022}
}
Comments
minor extension, some typos removed