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The asymptotic expansion of the regular discretization error of Itô integrals
Work
Year: 2020
Type: article
Abstract: 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. ... more
Source: Mathematical Finance
Authors Elisa Alòs, Masaaki Fukasawa
Institutions Barcelona School of Economics, Universitat Pompeu Fabra, Osaka University
Cites: 20
Cited by: 1
Related to: 10
FWCI: 0.218
Citation percentile (by year/subfield): 49.42
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: green
Funders Ministerio de Ciencia e Innovación, Japan Society for the Promotion of Science
Grant IDS MTM2016‐76420‐P, JSPS KAKENHI 17K05297