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Confidence sets in nonparametric calibration of exponential Lévy models
Söhl, Jakob - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
volatility, the drift, the intensity and the Lévy density at nitely many points in the spectral calibration method. Furthermore …, the asymptotic normality result leads to a test on the value of the volatility in exponential Lévy models. …
Persistent link: https://www.econbiz.de/10009651905
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Option calibration of exponential Lévy models: Implementation and empirical results
Söhl, Jacob; Trabs, Mathias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the implementation of the spectral estimation procedures for Lévy models of finite jump activity as well as for self-decomposable Lévy models and improve these methods....
Persistent link: https://www.econbiz.de/10010609987