The asymptotic expansion of the regular discretization error of It? integrals
The asymptotic expansion of the regular discretization error of It? integrals
复制标题
正则离散化误差的渐近展开呢？
DOI：
10.1111/mafi.12292
复制
发表时间：
2021
影响因子：
1.6
通讯作者：
Fukasawa Masaaki
中科院分区：
文献类型：
--
作者：
Alos Elisa;Fukasawa Masaaki
我们研究了Itô积分的离散化误差的中心极限定理的Edgeworth型加细。为此，我们引入了一种新的方法，基于预期伊藤公式。这种替代技术使我们能够显式地计算相应展开式的各项。两个应用金融;离散套期保值误差的渐近Black-Scholes模型和连续和离散监控方差互换收益之间的差异随机波动率模型下。
We study an Edgeworth‐type refinement of the central limit theorem for the discretization error of Itô integrals. Toward this end, we introduce a new approach, based on the anticipating Itô formula. This alternative technique allows us to compute explicitly the terms of the corresponding expansion formula. Two applications to finance are given; the asymptotics of discrete hedging error under the Black–Scholes model and the difference between continuously and discretely monitored variance swap payoffs under stochastic volatility models.