dorsal/arxiv
View SchemaMartingale expansion for stochastic volatility
| Authors | Masaaki Fukasawa |
|---|---|
| Categories | |
| ArXiv ID | 2601.09324vv1 |
| URL | https://arxiv.org/abs/2601.09324 |
| License | http://arxiv.org/licenses/nonexclusive-distrib/1.0/ |
Abstract
The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically suited to continuous stochastic volatility models. Our approach accommodates both small volatility-of-volatility and fast mean-reversion models, yielding first-order perturbation expansions under essentially minimal conditions.
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"abstract": "The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically suited to continuous stochastic volatility models. Our approach accommodates both small volatility-of-volatility and fast mean-reversion models, yielding first-order perturbation expansions under essentially minimal conditions.",
"arxiv_id": "2601.09324",
"authors": [
"Masaaki Fukasawa"
],
"categories": [
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"license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
"title": "Martingale expansion for stochastic volatility",
"url": "https://arxiv.org/abs/2601.09324",
"version": "v1"
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