@techreport{Sohl2012Confidence,
abstract = {Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential L\'{e}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 L\'{e}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 L\'{e}vy models.},
address = {Berlin},
author = {Jakob S\"{o}hl},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G13; C14; 330; European option; jump diffusion; confidence sets; asymptotic normality; nonlinear inverse problem; Optionspreistheorie; Stochastischer Prozess; Nichtparametrisches Verfahren; Sch\"{a}tztheorie; Theorie},
language = {eng},
number = {2012-012},
publisher = {SFB 649, Economic Risk},
title = {Confidence sets in nonparametric calibration of exponential L\'{e}vy models},
type = {SFB 649 discussion paper},
url = {http://hdl.handle.net/10419/56716},
year = {2012}
}
