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Edgeworth expansions for volatility models

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  • Moritz Jirak

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.

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  • Moritz Jirak, 2021. "Edgeworth expansions for volatility models," Papers 2111.00529, arXiv.org, revised Sep 2022.
    • Handle: RePEc:arx:papers:2111.00529
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    References listed on IDEAS

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