Confidence sets in nonparametric calibration of exponential LÃ©vy models
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential LÃ©vy 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 LÃ©vy 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 LÃ©vy models.
|Date of creation:||Feb 2012|
|Contact details of provider:|| Postal: Spandauer Str. 1,10178 Berlin|
Web page: http://sfb649.wiwi.hu-berlin.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Denis Belomestny & Markus Reiß, 2006.
"Spectral calibration of exponential Lévy models,"
Finance and Stochastics,
Springer, vol. 10(4), pages 449-474, December.
- Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy Models ," SFB 649 Discussion Papers SFB649DP2006-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy Models ," SFB 649 Discussion Papers SFB649DP2006-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Rama Cont, 2006. "Model Uncertainty And Its Impact On The Pricing Of Derivative Instruments," Mathematical Finance, Wiley Blackwell, vol. 16(3), pages 519-547.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
Journal of Financial Economics,
Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Rama Cont, 2006. "Model uncertainty and its impact on the pricing of derivative instruments," Post-Print halshs-00002695, HAL.
When requesting a correction, please mention this item's handle: RePEc:hum:wpaper:sfb649dp2012-012. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RDC-Team)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.