Spectral calibration of exponential Lévy Models [1]

We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit inversion of option price formula in the spectral domain and a cut-off scheme for high frequencies as regularisation.

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Year of publication:	2006
Authors:	Belomestny, Denis ; Reiß, Markus
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	European option \| jump diffusion \| minimax rates \| severely ill-posed \| nonlinear inverse problem \| spectral cut-off

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Series:	SFB 649 Discussion Paper ; 2006-034
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	513076360 [GVK] hdl:10419/25125 [Handle] RePEc:zbw:sfb649:sfb649dp2006-034 [RePEc]
Classification:	G13 - Contingent Pricing; Futures Pricing ; C14 - Semiparametric and Nonparametric Methods
Source:	EconStor

Persistent link: https://www.econbiz.de/10010263640