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.
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- 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. Full references (including those not matched with items on IDEAS)
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