Confidence sets in nonparametric calibration of exponential Lévy models

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. Copyright Springer-Verlag Berlin Heidelberg 2014

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Year of publication:	2014
Authors:	Söhl, Jakob
Published in:	Finance and Stochastics. - Springer. - Vol. 18.2014, 3, p. 617-649
Publisher:	Springer
Subject:	European option \| Jump diffusion \| Confidence sets \| Asymptotic normality \| Nonlinear inverse problem

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010997051