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 the option price formula in the spectral domain and a cut-off scheme for high frequencies as regularisation.

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Year of publication:	2006-04
Authors:	Belomestny, Denis ; Reiß, Markus
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	European option \| jump diffusion \| minimax rates \| severely ill-posed \| nonlinear inverse problem \| spectral cut-off

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Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number SFB649DP2006-034 28 pages
Classification:	G13 - Contingent Pricing; Futures Pricing ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005652730