Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56716
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dc.contributor.authorSöhl, Jakoben_US
dc.date.accessioned2012-02-09en_US
dc.date.accessioned2012-04-05T16:20:21Z-
dc.date.available2012-04-05T16:20:21Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/56716-
dc.description.abstractConfidence 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.isoengen_US
dc.publisher|aSFB 649, Economic Risk |cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper |x2012-012en_US
dc.subject.jelG13en_US
dc.subject.jelC14en_US
dc.subject.ddc330en_US
dc.subject.keywordEuropean optionen_US
dc.subject.keywordjump diffusionen_US
dc.subject.keywordconfidence setsen_US
dc.subject.keywordasymptotic normalityen_US
dc.subject.keywordnonlinear inverse problemen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwNichtparametrisches Verfahrenen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwTheorieen_US
dc.titleConfidence sets in nonparametric calibration of exponential Lévy modelsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn685026744en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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