Confidence sets in nonparametric calibration of exponential Lévy models

被引：0
作者：
Jakob Söhl
机构：
[1] University of Cambridge,Statistical Laboratory, Department of Pure Mathematics and Mathematical Statistics
来源：
Finance and Stochastics | 2014年 / 18卷
关键词：
European option; Jump diffusion; Confidence sets; Asymptotic normality; Nonlinear inverse problem; 60G51; 62G15; 91G70; C14; G13;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy 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 Lévy density at finitely many points.
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页码：617 / 649
页数：32
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