Confidence sets in nonparametric calibration of exponential LÃ©vy models
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References listed on IDEAS
- Denis Belomestny, 2009. "Spectral estimation of the fractional order of a LÃ©vy process," SFB 649 Discussion Papers SFB649DP2009-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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More about this item
KeywordsEuropean option; Jump diffusion; Confidence sets; Asymptotic normality; Nonlinear inverse problem;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-08 (All new papers)
- NEP-ECM-2012-03-08 (Econometrics)
- NEP-ETS-2012-03-08 (Econometric Time Series)
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