|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/56716
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Söhl, Jakob | | en_US |
| dc.date.accessioned | | 2012-02-09 | | en_US |
| dc.date.accessioned | | 2012-04-05T16:20:21Z | | - |
| dc.date.available | | 2012-04-05T16:20:21Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/56716 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2012-012 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | European option | | en_US |
| dc.subject.keyword | | jump diffusion | | en_US |
| dc.subject.keyword | | confidence sets | | en_US |
| dc.subject.keyword | | asymptotic normality | | en_US |
| dc.subject.keyword | | nonlinear inverse problem | | en_US |
| dc.subject.stw | | Optionspreistheorie | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Nichtparametrisches Verfahren | | en_US |
| dc.subject.stw | | Schätztheorie | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Confidence sets in nonparametric calibration of exponential Lévy models | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 685026744 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|