Matches in SemOpenAlex for { <https://semopenalex.org/work/W4289597924> ?p ?o ?g. }
Showing items 1 to 61 of
61
with 100 items per page.
- W4289597924 abstract "We derive a higher-order asymptotic expansion of the conditional characteristic function of the increment of an It^o semimartingale over a shrinking time interval. The spot characteristics of the It^o semimartingale are allowed to have dynamics of general form. In particular, their paths can be rough, that is, exhibit local behavior like that of a fractional Brownian motion, while at the same time have jumps with arbitrary degree of activity. The expansion result shows the distinct roles played by the different features of the spot characteristics dynamics. As an application of our result, we construct a nonparametric estimator of the Hurst parameter of the diffusive volatility process from portfolios of short-dated options written on an underlying asset." @default.
- W4289597924 created "2022-08-03" @default.
- W4289597924 creator A5036655526 @default.
- W4289597924 creator A5078291617 @default.
- W4289597924 date "2022-08-01" @default.
- W4289597924 modified "2023-09-29" @default.
- W4289597924 title "Short-time expansion of characteristic functions in a rough volatility setting with applications" @default.
- W4289597924 doi "https://doi.org/10.48550/arxiv.2208.00830" @default.
- W4289597924 hasPublicationYear "2022" @default.
- W4289597924 type Work @default.
- W4289597924 citedByCount "0" @default.
- W4289597924 crossrefType "posted-content" @default.
- W4289597924 hasAuthorship W4289597924A5036655526 @default.
- W4289597924 hasAuthorship W4289597924A5078291617 @default.
- W4289597924 hasBestOaLocation W42895979241 @default.
- W4289597924 hasConcept C102366305 @default.
- W4289597924 hasConcept C105795698 @default.
- W4289597924 hasConcept C108819105 @default.
- W4289597924 hasConcept C112401455 @default.
- W4289597924 hasConcept C121332964 @default.
- W4289597924 hasConcept C121864883 @default.
- W4289597924 hasConcept C134306372 @default.
- W4289597924 hasConcept C149782125 @default.
- W4289597924 hasConcept C185429906 @default.
- W4289597924 hasConcept C28826006 @default.
- W4289597924 hasConcept C33923547 @default.
- W4289597924 hasConcept C39943821 @default.
- W4289597924 hasConcept C85393063 @default.
- W4289597924 hasConcept C91602232 @default.
- W4289597924 hasConcept C96835011 @default.
- W4289597924 hasConceptScore W4289597924C102366305 @default.
- W4289597924 hasConceptScore W4289597924C105795698 @default.
- W4289597924 hasConceptScore W4289597924C108819105 @default.
- W4289597924 hasConceptScore W4289597924C112401455 @default.
- W4289597924 hasConceptScore W4289597924C121332964 @default.
- W4289597924 hasConceptScore W4289597924C121864883 @default.
- W4289597924 hasConceptScore W4289597924C134306372 @default.
- W4289597924 hasConceptScore W4289597924C149782125 @default.
- W4289597924 hasConceptScore W4289597924C185429906 @default.
- W4289597924 hasConceptScore W4289597924C28826006 @default.
- W4289597924 hasConceptScore W4289597924C33923547 @default.
- W4289597924 hasConceptScore W4289597924C39943821 @default.
- W4289597924 hasConceptScore W4289597924C85393063 @default.
- W4289597924 hasConceptScore W4289597924C91602232 @default.
- W4289597924 hasConceptScore W4289597924C96835011 @default.
- W4289597924 hasLocation W42895979241 @default.
- W4289597924 hasOpenAccess W4289597924 @default.
- W4289597924 hasPrimaryLocation W42895979241 @default.
- W4289597924 hasRelatedWork W1626943 @default.
- W4289597924 hasRelatedWork W20493593 @default.
- W4289597924 hasRelatedWork W26397136 @default.
- W4289597924 hasRelatedWork W28666078 @default.
- W4289597924 hasRelatedWork W32296021 @default.
- W4289597924 hasRelatedWork W34777239 @default.
- W4289597924 hasRelatedWork W40699225 @default.
- W4289597924 hasRelatedWork W43417118 @default.
- W4289597924 hasRelatedWork W54848145 @default.
- W4289597924 hasRelatedWork W57953626 @default.
- W4289597924 isParatext "false" @default.
- W4289597924 isRetracted "false" @default.
- W4289597924 workType "article" @default.