Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56716 
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dc.contributor.authorSöhl, Jakoben
dc.date.accessioned2012-02-09-
dc.date.accessioned2012-04-05T16:20:21Z-
dc.date.available2012-04-05T16:20:21Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2012-012en
dc.subject.jelG13en
dc.subject.jelC14en
dc.subject.ddc330en
dc.subject.keywordEuropean optionen
dc.subject.keywordjump diffusionen
dc.subject.keywordconfidence setsen
dc.subject.keywordasymptotic normalityen
dc.subject.keywordnonlinear inverse problemen
dc.subject.stwOptionspreistheorieen
dc.subject.stwStochastischer Prozessen
dc.subject.stwNichtparametrisches Verfahrenen
dc.subject.stwSchätztheorieen
dc.subject.stwTheorieen
dc.titleConfidence sets in nonparametric calibration of exponential Lévy models-
dc.typeWorking Paperen
dc.identifier.ppn685026744en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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