Confidence sets in nonparametric calibration of exponential Lévy models

Jakob Söhl

doi:10.1007/s00780-014-0228-9

Confidence sets in nonparametric calibration of exponential Lévy models

Jakob Söhl^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › Scientific › peer-review

8 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	617-649
Number of pages	33
Journal	Finance and Stochastics
Volume	18
Issue number	3
DOIs	https://doi.org/10.1007/s00780-014-0228-9
Publication status	Published - 2014
Externally published	Yes

Keywords

Asymptotic normality
Confidence sets
European option
Jump diffusion
Nonlinear inverse problem

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10.1007/s00780-014-0228-9

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title = "Confidence sets in nonparametric calibration of exponential L{\'e}vy models",

abstract = "Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential L{\'e}vy 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 L{\'e}vy density at finitely many points.",

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AB - 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.

KW - Asymptotic normality

KW - Confidence sets

KW - European option

KW - Jump diffusion

KW - Nonlinear inverse problem

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DO - 10.1007/s00780-014-0228-9

M3 - Article

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SP - 617

EP - 649

JO - Finance and Stochastics

JF - Finance and Stochastics

IS - 3

ER -

Confidence sets in nonparametric calibration of exponential Lévy models

Abstract

Keywords

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