Small time central limit theorems for semimartingales with applications-Reference-Cited by-同舟云学术

Small time central limit theorems for semimartingales with applications

Published:2015-06-04 Issue:5 Volume:87 Page:723-746
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Gerhold Stefan¹,Kleinert Max²,Porkert Piet³,Shkolnikov Mykhaylo⁴

Affiliation:

1. Research Unit of Financial and Actuarial Mathematics, Vienna University of Technology, Wiedner Hauptstr. 8/105-1, A-1040Vienna, Austria

2. Research Unit of Financial and Actuarial Mathematics, Vienna University of Technology and Arithmetica Versicherungs- und Finanzmathematische Beratungs-GmbH, A-1040Vienna, Austria

3. Christian Doppler Laboratory for Portfolio Risk Management, Vienna University of Technology, Wiedner Hauptstr. 8/105-1, A-1040Vienna, Austria

4. Department of Statistics, University of California, Berkeley, CA94720-3860, USA

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2014.1000326

Reference38 articles.

1. A Hull and White Formula for a General Stochastic Volatility Jump-Diffusion Model with Applications to the Study of the Short-Time Behavior of the Implied Volatility

2. On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

3. Smart expansion and fast calibration for jump diffusions

4. A. Bentata, and R. Cont, Short-time asymptotics for marginal distributions of semimartingales, arXiv:1202.1302 2012.

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