Spectral calibration of exponential Levy models

被引：55
作者：
Belomestny, Denis
Reiss, Markus
机构：
[1] Univ Heidelberg, Inst Appl Math, D-69120 Heidelberg, Germany
[2] Weierstrass Inst Appl Anal & Stochast, WIAS, D-10117 Berlin, Germany
来源：
FINANCE AND STOCHASTICS | 2006年 / 10卷 / 04期
关键词：
European option; jump diffusion; minimax rates; severely ill-posed; nonlinear inverse problem; spectral cut-off;
D O I：
10.1007/s00780-006-0021-5
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the problem of calibrating an exponential Levy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit inversion of the option price formula in the spectral domain and a cut-off scheme for high frequencies as regularisation.
引用
收藏
页码：449 / 474
页数：26
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