---
title: Asymptotic Expansions for High-Frequency Option Data
url: https://www.ml-quant.com/papers/ssrn/4440168/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4440168
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4440168
featured: 2025-12-19
citations: 2
topic: Derivatives & Volatility
---


# Asymptotic Expansions for High-Frequency Option Data

A new method for analyzing financial data helps test for sudden volatility changes, with evidence from SP500 options indicating significant variation.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4440168
- Identifier: SSRN 4440168
- Released: 2023-05-09
- First featured: Quant Letter No. 123 (2025-12-19): https://www.ml-quant.com/issues/2025-12-19/
- Citations (Semantic Scholar): 2
- Published in: not yet
- Topic: Derivatives & Volatility

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