Confidence sets in nonparametric calibration of exponential Levy models

被引:8
作者
Soehl, Jakob [1 ]
机构
[1] Univ Cambridge, Dept Pure Math & Math Stat, Stat Lab, Cambridge CB3 0WB, England
关键词
European option; Jump diffusion; Confidence sets; Asymptotic normality; Nonlinear inverse problem; ASYMPTOTIC NORMALITY; DENSITY ESTIMATORS; REGRESSION; INTERVALS;
D O I
10.1007/s00780-014-0228-9
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential L,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,vy density at finitely many points.
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页码:617 / 649
页数:33
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