Martingale expansion for stochastic volatility
Fuente:
arXiv
Enregistré dans:
| Auteur principal: | |
|---|---|
| Format: | Preprint |
| Publié: |
2026
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866915774980947968 |
|---|---|
| author | Fukasawa, Masaaki |
| author_facet | Fukasawa, Masaaki |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_09324 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Martingale expansion for stochastic volatility Fukasawa, Masaaki Probability Mathematical Finance 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. |
| title | Martingale expansion for stochastic volatility |
| topic | Probability Mathematical Finance |
| url | https://arxiv.org/abs/2601.09324 |