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Confidence sets in nonparametric calibration of exponential Lévy models

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  • Jakob Söhl

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. Copyright Springer-Verlag Berlin Heidelberg 2014

Suggested Citation

  • Jakob Söhl, 2014. "Confidence sets in nonparametric calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 18(3), pages 617-649, July.
    • Handle: RePEc:spr:finsto:v:18:y:2014:i:3:p:617-649
    DOI: 10.1007/s00780-014-0228-9
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    Keywords

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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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