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.
{
"annotation_id": "70a2b783-0117-4ce3-81dc-d9ff3b1da678",
"date_created": "2026-02-17T05:53:19.896000Z",
"date_modified": "2026-02-17T05:53:19.896000Z",
"file_hash": "17f96c0fdbc54259d06c2f4e13fe56d4bdd7afbaf50bfba7b78afdb6438beba9",
"private": false,
"record": {
"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": [
"math.PR",
"q-fin.MF"
],
"license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
"title": "Martingale expansion for stochastic volatility",
"url": "https://arxiv.org/abs/2601.09324",
"version": "v1"
},
"schema_id": "dorsal/arxiv",
"source": {
"execution_id": "83ed1be3-f30a-4174-ba3c-d0dd2560c384",
"id": "arXiv Dataset",
"type": "Model",
"variant": "snapshot-2026-01-17",
"version": "0.1.0"
},
"user_id": 1000002
}