Showing 1 - 10 of 1,508
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy models based on prices of European options. This is done by showing joint asymptotic normality for the estimation of the volatility, the drift, the intensity and the Lévy...
Persistent link: https://www.econbiz.de/10010281561
We study the nonparametric calibration of exponential, self-decomposable Lévy models whose jump density can be characterized by the k-function, which is typically nonsmooth at zero. On the one hand the estimation of the drift, the activity measure a := k(0+) + k(0-) and analog parameters for...
Persistent link: https://www.econbiz.de/10010281533
Alcock and Carmichael (2008) introduce a nonparametric method for pricing American style options that is derived from the canonical valuation developed by Stutzer (1996). While the statistical properties of this nonparametric pricing methodology have been studied in a controlled simulation...
Persistent link: https://www.econbiz.de/10013159685
Haley and Walker (2010) present the Euclidean and Empirical Likelihood nonparametric option pricing models as alternative tilts to Stutzer's (1996) Canonical pricing method. We empirically test the comparative strengths of each of these methods using a large sample of traded options on the...
Persistent link: https://www.econbiz.de/10013090344
We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional cointegration, allowing derivation of useful long-run relations even among stationary processes. The approach is due to Robinson (1994, Annals of Statistics 22, 515-539) and uses...
Persistent link: https://www.econbiz.de/10014067273
Persistent link: https://www.econbiz.de/10010395982
We consider nonparametric estimation of a mixed discrete-continuous distribution under anisotropic smoothness conditions and possibly increasing number of support points for the discrete part of the distribution. For these settings, we derive lower bounds on the estimation rates in the total...
Persistent link: https://www.econbiz.de/10011895828
A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions...
Persistent link: https://www.econbiz.de/10010270819
Persistent link: https://www.econbiz.de/10010274128
Information about risk preferences from investors is essential for modelling a wide range of quantitative finance applications. Valuable information related to preferences can be extracted from option prices through pricing kernels. In this paper, pricing kernels and their term structure are...
Persistent link: https://www.econbiz.de/10012966244