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dc.contributor.authorTrabs, Mathiasen
dc.date.accessioned2011-11-29-
dc.date.accessioned2012-04-05T16:16:04Z-
dc.date.available2012-04-05T16:16:04Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/56680-
dc.description.abstractWe study the nonparametric calibration of exponential, self-decomposable Lévy models whose jump density can be characterized by the k-function, which is typically nonsmooth at zero. On the one hand the estimation of the drift, the activity measure a := k(0+) + k(0-) and analog parameters for the derivatives are considered and on the other hand we estimate the k-function outside of a neighborhood of zero. Minimax convergence rates are derived, which depend on a. Therefore, we construct estimators adapting to this unknown parameter. Our estimation method is based on spectral representations of the observed option prices and on regularization by cutting off high frequencies. Finally, the procedure is applied to simulations and real data.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2011-073en
dc.subject.jelC14en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordadaptationen
dc.subject.keywordEuropean optionen
dc.subject.keywordinfinite activity jump processen
dc.subject.keywordminimax ratesen
dc.subject.keywordnon linear inverse problemen
dc.subject.keywordself-decomposability.en
dc.subject.stwOptionspreistheorieen
dc.subject.stwStochastischer Prozessen
dc.subject.stwNichtparametrisches Verfahrenen
dc.subject.stwTheorieen
dc.titleCalibration of self-decomposable Lévy models-
dc.typeWorking Paperen
dc.identifier.ppn675459400en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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