Confidence sets in nonparametric calibration of exponential Lévy models
Year of publication: |
2014
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Authors: | Söhl, Jakob |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 18.2014, 3, p. 617-649
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Subject: | European option | Jump diffusion | Confidence sets | Asymptotic normality | Nonlinear inverse problem | Nichtparametrisches Verfahren | Nonparametric statistics | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
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