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Title:Confidence sets in nonparametric calibration of exponential Lévy models PDF Logo
Authors:Söhl, Jakob
Issue Date:2012
Series/Report no.:SFB 649 discussion paper 2012-012
Abstract:Confidence intervals and joint confidence sets are constructed for the nonparametric calibration of exponential Lévy 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 Lévy 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 Lévy models.
Subjects:European option
jump diffusion
confidence sets
asymptotic normality
nonlinear inverse problem
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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