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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/56624
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| Title: | | Option calibration of exponential Lévy models: Implementation and empirical results  |
| Authors: | | Söhl, Jakob Trabs, Mathias |
| Issue Date: | | 2012 |
| Series/Report no.: | | SFB 649 discussion paper 2012-017 |
| Abstract: | | Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the implementation of the spectral estimation procedures for Lévy models of finite jump activity as well as for self-decomposable Lévy models and improve these methods. Confidence intervals are constructed for the estimators in the finite activity case. They allow inference on the behavior of the parameters when the option prices are observed in a sequence of trading days. We compare the performance of the procedures for finite and infinite jump activity based on real option data. |
| Subjects: | | European option jump diffusion self-decomposability confidence sets nonlinear inverse problem spectral cut-off |
| JEL: | | C14 G13 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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