Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
Author:
Funder
National Science Foundation
Publisher
Elsevier BV
Subject
Applied Mathematics,Modeling and Simulation,Statistics and Probability
Reference40 articles.
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1. Volatility of volatility and leverage effect from options;Journal of Econometrics;2024-03
2. 0DTE Option Pricing;SSRN Electronic Journal;2023
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4. Bias reduction in spot volatility estimation from options;Journal of Econometrics;2021-12
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