Journal Article

Higher-Order Small Time Asymptotic Expansion of Ito Semimartingale Characteristic Function with Application to Estimation of Leverage from Options

Stochastic Processes and Their Applications
Author(s)

Viktor Todorov

Date Published: 2021
Citations: Todorov, Viktor. 2021. Higher-Order Small Time Asymptotic Expansion of Ito Semimartingale Characteristic Function with Application to Estimation of Leverage from Options. Stochastic Processes and Their Applications. 671-705.
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