TITLE

Confidence sets in nonparametric calibration of exponential Lévy models

AUTHOR(S)
Söhl, Jakob
PUB. DATE
July 2014
SOURCE
Finance & Stochastics;Jul2014, Vol. 18 Issue 3, p617
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. To this end, we show joint asymptotic normality in the spectral calibration method for the estimators of the volatility, the drift, the jump intensity and the Lévy density at finitely many points.
ACCESSION #
97072647

 

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